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On simulated annealing with temperature-dependent energy and temperature-dependent communication

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  • Robini, Marc C.
  • Reissman, Pierre-Jean
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    Abstract

    Simulated annealing (SA) is a generic optimization method that is quite popular because of its ease of implementation and its optimal convergence properties. Still, SA is widely reported to converge very slowly and it is common practice to allow extra freedom in its design at the expense of losing global convergence guarantees. In this paper, we derive simple sufficient conditions for the global convergence of SA when the cost function and the candidate solution generation mechanism are temperature-dependent. These conditions are surprisingly weak-they do not involve the variations of the cost function with temperature-and exponential cooling makes it possible to be arbitrarily close to the best possible convergence exponent of standard SA.

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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 81 (2011)
    Issue (Month): 8 (August)
    Pages: 915-920

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    Handle: RePEc:eee:stapro:v:81:y:2011:i:8:p:915-920

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    Related research

    Keywords: Combinatorial optimization Simulated annealing Markov chains Monte Carlo methods;

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    1. Löwe, Matthias, 1996. "Simulated annealing with time-dependent energy function via Sobolev inequalities," Stochastic Processes and their Applications, Elsevier, vol. 63(2), pages 221-233, November.
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