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PCA-Enhanced Stochastic Optimization Methods

  • Alina Kuznetsova
  • Gerard Pons-Moll
  • Bodo Rosenhahn
Part of the Lecture Notes in Computer Science book series (LNCS, volume 7476)

Abstract

In this paper, we propose to enhance particle-based stochastic optimization methods (SO) by using Principal Component Analysis (PCA) to build an approximation of the cost function in a neighborhood of particles during optimization. Then we use it to shift the samples in the direction of maximum cost change. We provide theoretical basis and experimental results showing that such enhancement improves the performance of existing SO methods significantly. In particular, we demonstrate the usefulness of our method when combined with standard Random Sampling, Simulated Annealing and Particle Filter.

Keywords

Cost Function Simulated Annealing Tracking Error Particle Filter Stochastic Optimization 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  • Alina Kuznetsova
    • 1
  • Gerard Pons-Moll
    • 1
  • Bodo Rosenhahn
    • 1
  1. 1.Institute for Information Processing (TNT)Leibniz University HanoverGermany

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