Papers › Multistart Algorithm for Identifying All Optima of Nonconvex Stochastic Functions

Multistart Algorithm for Identifying All Optima of Nonconvex Stochastic Functions

30 Aug 2021arXiv:2108.13504links table onlyarchive 2025-07-28

Prateek Jaiswal, Jeffrey Larson

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We propose a multistart algorithm to identify all local minima of a constrained, nonconvex stochastic optimization problem. The algorithm uniformly samples points in the domain and then starts a local stochastic optimization run from any point that is the "probabilistically best" point in its neighborhood. Under certain conditions, our algorithm is shown to asymptotically identify all local optima with high probability; this holds even though our algorithm is shown to almost surely start only finitely many local stochastic optimization runs. We demonstrate the performance of an implementation of our algorithm on nonconvex stochastic optimization problems, including identifying optimal variational parameters for the quantum approximate optimization algorithm.

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