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SIMANN: A Global Optimization Algorithm using Simulated Annealing

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  • Goffe William L.

    (Department of Economics and International Business University of Southern Mississippi)

Abstract

This paper describes SIMANN, a Fortran and GAUSS implementation of the simulated annealing algorithm. The Fortran code was used in "Global Optimization of Statistical Functions with Simulated Annealing" (Goffe, Ferrier, and Rogers 1994). In that paper, simulated annealing was found to be competitive, if not superior, to multiple restarts of conventional optimization routines for difficult optimization problems. This paper compares SIMANN to the DFP algorithm on another optimization problem, namely, the maximum likelihood estimation of a rational expectations model, which was previously studied in the literature. SIMANN again performs quite well, and shows several advantages over DFP. This paper also describes simulated annealing, and gives explicit directions and an example for using the included GAUSS and Fortran code.

Suggested Citation

  • Goffe William L., 1996. "SIMANN: A Global Optimization Algorithm using Simulated Annealing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(3), pages 1-9, October.
    • Handle: RePEc:bpj:sndecm:v:1:y:1996:i:3:n:al1
    DOI: 10.2202/1558-3708.1020
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    Citations

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    Cited by:

    1. Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2015. "Moment matching versus Bayesian estimation: Backward-looking behaviour in a New-Keynesian baseline model," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 126-154.
    2. Ueda, Atsuko, 2008. "Dynamic model of childbearing and labor force participation of married women: Empirical evidence from Korea and Japan," Journal of Asian Economics, Elsevier, vol. 19(2), pages 170-180, April.
    3. Eduardo Fé & Richard Hofler, 2013. "Count data stochastic frontier models, with an application to the patents–R&D relationship," Journal of Productivity Analysis, Springer, vol. 39(3), pages 271-284, June.
    4. Lapatinas, Athanasios, 2015. "Multinational versus national firms on capital adjustment costs: A structural approach," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 9, pages 1-22.
    5. Nakatsuma, Teruo, 2000. "Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach," Journal of Econometrics, Elsevier, vol. 95(1), pages 57-69, March.
    6. K. Chua & S. Ong, 2013. "Test of misspecification with application to negative binomial distribution," Computational Statistics, Springer, vol. 28(3), pages 993-1009, June.
    7. Alberto Bisin & Giorgio Topa & Thierry Verdier, 2004. "Religious Intermarriage and Socialization in the United States," Journal of Political Economy, University of Chicago Press, vol. 112(3), pages 615-664, June.
    8. Bithin Datta & Om Prakash & Sean Campbell & Gerry Escalada, 2013. "Efficient Identification of Unknown Groundwater Pollution Sources Using Linked Simulation-Optimization Incorporating Monitoring Location Impact Factor and Frequency Factor," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 27(14), pages 4959-4976, November.
    9. André Kurmann, 2004. "Maximum Likelihood Estimation of Dynamic Stochastic Theories with an Application to New Keynesian Pricing," Cahiers de recherche 0421, CIRPEE.
    10. Abdymomunov Azamat & Kang Kyu Ho, 2015. "The effects of monetary policy regime shifts on the term structure of interest rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 183-207, April.
    11. Lombardo, Giovanni & McAdam, Peter, 2012. "Financial market frictions in a model of the Euro area," Economic Modelling, Elsevier, vol. 29(6), pages 2460-2485.
    12. Subhajit Dey & Om Prakash, 2022. "Coupled Sharp-interface and Density-dependent Model for Simultaneous Optimization of Production Well Locations and Pumping in Coastal Aquifer," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 36(7), pages 2327-2341, May.
    13. William L. Goffe, "undated". "A Toolkit for Optimizing Functions in Economics," Computing in Economics and Finance 1997 65, Society for Computational Economics.
    14. Franke, Reiner, 2013. "Competitive Moment Matching of a New-Keynesian and an Old-Keynesian Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79988, Verein für Socialpolitik / German Economic Association.
    15. Lapatinas Athanasios, 2012. "On the Interrelation of Capital and Labor Adjustment Costs at the Firm Level," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-36, September.
    16. Günter Coenen & Giovanni Lombardo & Frank Smets & Roland Straub, 2007. "International Transmission and Monetary Policy Cooperation," NBER Chapters, in: International Dimensions of Monetary Policy, pages 157-192, National Bureau of Economic Research, Inc.
    17. Peacock, Chris & Baumann, Ursel, 2008. "Globalisation, import prices and inflation dynamics," Bank of England working papers 359, Bank of England.
    18. Atsuko Ueda, 2000. "A Dynamic Decision Model of Marriage, Childbearing, and Labor Force Participation of Women in Japan," Labor and Demography 0004007, University Library of Munich, Germany.
    19. Kurmann, Andre, 2007. "VAR-based estimation of Euler equations with an application to New Keynesian pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 767-796, March.
    20. Ferreiro, Ana M. & García-Rodríguez, José Antonio & Vázquez, Carlos & e Silva, E. Costa & Correia, A., 2019. "Parallel two-phase methods for global optimization on GPU," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 156(C), pages 67-90.
    21. Schündeln, Matthias, 2005. "Modeling Firm Dynamics to Identify the Cost of Financing Constraints in Ghanaian Manufacturing," Proceedings of the German Development Economics Conference, Kiel 2005 29, Verein für Socialpolitik, Research Committee Development Economics.
    22. Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," Papers 2306.14653, arXiv.org, revised Jan 2024.
    23. Reiner Franke, 2018. "Competitive moment matching of a New-Keynesian and an Old-Keynesian model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 201-239, July.
    24. Roger A. McCain, 2000. "Road Rage: Imitative Learning Of Self-Destructive Behavior In An Agent-Based Simulation," Computing in Economics and Finance 2000 270, Society for Computational Economics.

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