A Global Stochastic Optimization Particle Filter Algorithm. (arXiv:2007.04803v8 [stat.ML] UPDATED)

We introduce a new online algorithm for expected log-likelihood maximization
in situations where the objective function is multi-modal and/or has saddle
points, that we term G-PFSO. The key element underpinning G-PFSO is a
probability distribution which (a) is shown to concentrate on the target
parameter value as the sample size increases and (b) can be efficiently
estimated by means of a standard particle filter algorithm. This distribution
depends on a learning rate, where the faster the learning rate the quicker …

algorithm arxiv global ml optimization stochastic