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On Convergence of Differential Evolution Over a Class of Continuous Functions With Unique Global Optimum

Ghosh, Sayan and Vasilakos, AV and Suresh, K and Das, S (2011) On Convergence of Differential Evolution Over a Class of Continuous Functions With Unique Global Optimum. In: IEEE Transactions on Systems, Man, and Cybernetics, Part B: Cybernetics, PP (99). pp. 1-18.

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Differential evolution (DE) is arguably one of the most powerful stochastic real-parameter optimization algorithms of current interest. Since its inception in the mid 1990s, DE has been finding many successful applications in real-world optimization problems from diverse domains of science and engineering. This paper takes a first significant step toward the convergence analysis of a canonical DE (DE/rand/1/bin) algorithm. It first deduces a time-recursive relationship for the probability density function (PDF) of the trial solutions, taking into consideration the DE-type mutation, crossover, and selection mechanisms. Then, by applying the concepts of Lyapunov stability theorems, it shows that as time approaches infinity, the PDF of the trial solutions concentrates narrowly around the global optimum of the objective function, assuming the shape of a Dirac delta distribution. Asymptotic convergence behavior of the population PDF is established by constructing a Lyapunov functional based on the PDF and showing that it monotonically decreases with time. The analysis is applicable to a class of continuous and real-valued objective functions that possesses a unique global optimum (but may have multiple local optima). Theoretical results have been substantiated with relevant computer simulations.

Item Type: Journal Article
Additional Information: Copyright 2011 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.
Keywords: Asymptotic stability;convergence;differential evolution (DE); Lyapunov stability theorems;numerical optimization; probability density functions (PDFs).
Department/Centre: Others
Depositing User: Ms V Mangala
Date Deposited: 27 Dec 2011 09:13
Last Modified: 27 Dec 2011 09:13
URI: http://eprints.iisc.ac.in/id/eprint/42821

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