Particle algorithms for optimization on binary spaces

We discuss a unified approach to stochastic optimization of pseudo-Boolean objective functions based on particle methods, including the cross-entropy method and simulated annealing as special cases. We point out the need for auxiliary sampling distributions, that is parametric families on binary spaces, which are able to reproduce complex dependency structures, and illustrate their usefulness in our numerical experiments. We provide numerical evidence that particle-driven optimization algorithms based on parametric families yield superior results on strongly multi-modal optimization problems while local search heuristics outperform them on easier problems

mfEGRA: Multifidelity Efficient Global Reliability Analysis through Active Learning for Failure Boundary Location

This paper develops mfEGRA, a multifidelity active learning method using data-driven adaptively refined surrogates for failure boundary location in reliability analysis. This work addresses the issue of prohibitive cost of reliability analysis using Monte Carlo sampling for expensive-to-evaluate high-fidelity models by using cheaper-to-evaluate approximations of the high-fidelity model. The method builds on the Efficient Global Reliability Analysis (EGRA) method, which is a surrogate-based method that uses adaptive sampling for refining Gaussian process surrogates for failure boundary location using a single-fidelity model. Our method introduces a two-stage adaptive sampling criterion that uses a multifidelity Gaussian process surrogate to leverage multiple information sources with different fidelities. The method combines expected feasibility criterion from EGRA with one-step lookahead information gain to refine the surrogate around the failure boundary. The computational savings from mfEGRA depends on the discrepancy between the different models, and the relative cost of evaluating the different models as compared to the high-fidelity model. We show that accurate estimation of reliability using mfEGRA leads to computational savings of $\sim$46% for an analytic multimodal test problem and 24% for a three-dimensional acoustic horn problem, when compared to single-fidelity EGRA. We also show the effect of using a priori drawn Monte Carlo samples in the implementation for the acoustic horn problem, where mfEGRA leads to computational savings of 45% for the three-dimensional case and 48% for a rarer event four-dimensional case as compared to single-fidelity EGRA

Catching Super Massive Black Hole Binaries Without a Net

The gravitational wave signals from coalescing Supermassive Black Hole Binaries are prime targets for the Laser Interferometer Space Antenna (LISA). With optimal data processing techniques, the LISA observatory should be able to detect black hole mergers anywhere in the Universe. The challenge is to find ways to dig the signals out of a combination of instrument noise and the large foreground from stellar mass binaries in our own galaxy. The standard procedure of matched filtering against a grid of templates can be computationally prohibitive, especially when the black holes are spinning or the mass ratio is large. Here we develop an alternative approach based on Metropolis-Hastings sampling and simulated annealing that is orders of magnitude cheaper than a grid search. We demonstrate our approach on simulated LISA data streams that contain the signals from binary systems of Schwarzschild Black Holes, embedded in instrument noise and a foreground containing 26 million galactic binaries. The search algorithm is able to accurately recover the 9 parameters that describe the black hole binary without first having to remove any of the bright foreground sources, even when the black hole system has low signal-to-noise.Comment: 4 pages, 3 figures, Refined search algorithm, added low SNR exampl