Derivative-Free Filter Simulated Annealing Method for Constrained Continuous Global Optimization |
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Authors: | Abdel-Rahman Hedar Masao Fukushima |
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Institution: | (1) Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan |
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Abstract: | In this paper, a simulated-annealing-based method called Filter Simulated Annealing (FSA) method is proposed to deal with
the constrained global optimization problem. The considered problem is reformulated so as to take the form of optimizing two
functions, the objective function and the constraint violation function. Then, the FSA method is applied to solve the reformulated
problem. The FSA method invokes a multi-start diversification scheme in order to achieve an efficient exploration process.
To deal with the considered problem, a filter-set-based procedure is built in the FSA structure. Finally, an intensification
scheme is applied as a final stage of the proposed method in order to overcome the slow convergence of SA-based methods. The
computational results obtained by the FSA method are promising and show a superior performance of the proposed method, which
is a point-to-point method, against population-based methods. |
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Keywords: | Approximate descent direction constrained global optimization filter set metaheuristics simulated annealing |
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