# Version 3.2 of Fortran Code for Simulated Annealing (a global optimization algorithm also useful as a local optimizer for difficult problems)

## Author

Listed:
• William L. Goffe

(University of Southern Mississippi)

## Abstract

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. 65-99. 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. Briefly, we found it generally superior to multiple restarts of conventional optimization routines for difficult optimization problems. This code contains an example function and is ready to run. It is also heavily documented with numerous usage hints.

## Suggested Citation

• William L. Goffe, 1994. "Version 3.2 of Fortran Code for Simulated Annealing (a global optimization algorithm also useful as a local optimizer for difficult problems)," Computer Programs 9406001, University Library of Munich, Germany.
• Handle: RePEc:wpa:wuwppr:9406001
Note: 990 lines of Fortran 77 code in ASCII
as

File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/prog/papers/9406/9406001.txt
---><---

## 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:wpa:wuwppr:9406001. 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: . General contact details of provider: https://econwpa.ub.uni-muenchen.de .

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.

We have no bibliographic references for this item. You can help adding them by using 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.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: EconWPA (email available below). General contact details of provider: https://econwpa.ub.uni-muenchen.de .

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.