A simulated annealing driven multi-start algorithm for bound constrained global optimization

作者：Ali M M^*; Gabere M N

来源：Journal of Computational and Applied Mathematics, 2010, 233(10): 2661-2674.

DOI：10.1016/j.cam.2009.11.013

• Simulated annealing
• Positive spanning direction
• Direct search methods
• Pattern search
• Global optimization
• Multi-level single linkage

A derivative-free simulated annealing driven multi-start algorithm for continuous global optimization is presented. We first propose a trial point generation scheme in continuous simulated annealing which eliminates the need for the gradient-based trial point generation. We then suitably embed the multi-start procedure within the simulated annealing algorithm. We modify the derivative-free pattern search method and use it as the local search in the multi-start procedure. We study the convergence properties of the algorithm and test its performance on a set of 50 problems. Numerical results are presented which show the robustness of the algorithm. Numerical comparisons with a gradient-based simulated annealing algorithm and three population-based global optimization algorithms show that the new algorithm could offer a reasonable alternative to many currently available global optimization algorithms, specially for problems requiring 'direct search' type algorithm.

• 出版日期2010-3-15