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

William Goffe ()

Computer Programs from University Library of Munich, Germany

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.

Date: 1994-06-29
Note: 990 lines of Fortran 77 code in ASCII
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