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Simulated Annealing Algorithms for Continuous Global Optimization: Convergence Conditions

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  • M. Locatelli

    (Universitá di Firenze)

Abstract

In this paper, simulated annealing algorithms for continuous global optimization are considered. After a review of recent convergence results from the literature, a class of algorithms is presented for which strong convergence results can be proved without introducing assumptions which are too restrictive. The main idea of the paper is that of relating both the temperature value and the support dimension of the next candidate point, so that they are small at points with function value close to the current record and bounded away from zero otherwise.

Suggested Citation

  • M. Locatelli, 2000. "Simulated Annealing Algorithms for Continuous Global Optimization: Convergence Conditions," Journal of Optimization Theory and Applications, Springer, vol. 104(1), pages 121-133, January.
    • Handle: RePEc:spr:joptap:v:104:y:2000:i:1:d:10.1023_a:1004680806815
    DOI: 10.1023/A:1004680806815
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    References listed on IDEAS

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    1. Bruce Hajek, 1988. "Cooling Schedules for Optimal Annealing," Mathematics of Operations Research, INFORMS, vol. 13(2), pages 311-329, May.
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    Cited by:

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    3. Fabrice Talla Nobibon & Laurens Cherchye & Yves Crama & Thomas Demuynck & Bram De Rock & Frits C. R. Spieksma, 2016. "Revealed Preference Tests of Collectively Rational Consumption Behavior: Formulations and Algorithms," Operations Research, INFORMS, vol. 64(6), pages 1197-1216, December.
    4. Ng, Kenyon & Turlach, Berwin A. & Murray, Kevin, 2019. "A flexible sequential Monte Carlo algorithm for parametric constrained regression," Computational Statistics & Data Analysis, Elsevier, vol. 138(C), pages 13-26.
    5. M. Bierlaire & M. Thémans & N. Zufferey, 2010. "A Heuristic for Nonlinear Global Optimization," INFORMS Journal on Computing, INFORMS, vol. 22(1), pages 59-70, February.
    6. Weitao Sun & Yuan Dong, 2011. "Study of multiscale global optimization based on parameter space partition," Journal of Global Optimization, Springer, vol. 49(1), pages 149-172, January.
    7. Gerber, Mathieu & Bornn, Luke, 2018. "Convergence results for a class of time-varying simulated annealing algorithms," Stochastic Processes and their Applications, Elsevier, vol. 128(4), pages 1073-1094.
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    9. Zitt, Pierre-André, 2008. "Annealing diffusions in a potential function with a slow growth," Stochastic Processes and their Applications, Elsevier, vol. 118(1), pages 76-119, January.

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