Multiple-Try Simulated Annealing Algorithm for Global Optimization

Wei Shao and Guangbao Guo

Mathematical Problems in Engineering, 2018, vol. 2018, 1-11

Abstract:

Simulated annealing is a widely used algorithm for the computation of global optimization problems in computational chemistry and industrial engineering. However, global optimum values cannot always be reached by simulated annealing without a logarithmic cooling schedule. In this study, we propose a new stochastic optimization algorithm, i.e., simulated annealing based on the multiple-try Metropolis method, which combines simulated annealing and the multiple-try Metropolis algorithm. The proposed algorithm functions with a rapidly decreasing schedule, while guaranteeing global optimum values. Simulated and real data experiments including a mixture normal model and nonlinear Bayesian model indicate that the proposed algorithm can significantly outperform other approximated algorithms, including simulated annealing and the quasi-Newton method.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:9248318

DOI: 10.1155/2018/9248318

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