An interacting particle consensus method for constrained global optimization
This paper presents a particle-based optimization method designed for addressing minimization problems with equality constraints, particularly in cases where the loss function exhibits non-differentiability or non-convexity. The proposed method combines components from consensus-based optimization algorithm with a newly introduced forcing term directed at the constraint set. A rigorous mean-field limit is derived for the anisotropic particle system, while convergence to the constrained minimizer is established for the isotropic mean-field dynamics. Additionally, we introduce a linearly implicit discretized algorithm, analyze its well-posedness, stability properties, and consistency with the continuous particle dynamics, and conduct various numerical experiments to demonstrate the performance of the proposed method.