IDEAS home Printed from https://ideas.repec.org/c/cod/fortra/simanneal.html
 

Programme to "Global Optimization of Statistical Functions with Simulated Annealing"

Author

Listed:
  • William L. Goffe

    () (University of Southern Mississippi)

  • Gary D. Ferrier
  • John Rogers

Abstract

Simulated annealing is a global optimization method that distinguishes between different local optima. Starting from an initial point, the algorithm takes a step and the function is evaluated. When minimizing a function, any downhill step is accepted and the process repeats from this new point. An uphill step may be accepted. Thus, it can escape from local optima. This uphill decision is made by the Metropolis criteria. As the optimization process proceeds, the length of the steps decline and the algorithm closes in on the global optimum. Since the algorithm makes very few assumptions regarding the function to be optimized, it is quite robust with respect to non-quadratic surfaces. The degree of robustness can be adjusted by the user. In fact, simulated annealing can be used as a local optimizer for difficult functions. This implementation of simulated annealing was used in "Global Optimization of Statistical Functions with Simulated Annealing," Goffe, Ferrier and Rogers, Journal of Econometrics, vol. 60, no. 1/2, Jan./Feb. 1994, pp. 65-100. Briefly, we found it competitive, if not superior, to multiple restarts of conventional optimization routines for difficult optimization problems.

Suggested Citation

  • William L. Goffe & Gary D. Ferrier & John Rogers, "undated". "Programme to "Global Optimization of Statistical Functions with Simulated Annealing"," Fortran codes simanneal, .
  • Handle: RePEc:cod:fortra:simanneal
    as

    Download full text from publisher

    File URL: ftp://ftp.repec.org/RePEc/cod/html/Fortran/SimAnnealing.si
    File Function: Software information
    Download Restriction: no

    File URL: ftp://ftp.repec.org/RePEc/cod/html/Fortran/SimAnnealing.f
    File Function: Simulated Annealing source code
    Download Restriction: no

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cod:fortra:simanneal. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.