Simulated annealing in the presence of noise |
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Authors: | Jürgen Branke Stephan Meisel Christian Schmidt |
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Institution: | (1) Institute AIFB, University of Karlsruhe, 76128 Karlsruhe, Germany;(2) Dept. of Management Studies, Univ. of Braunschweig, 38106 Braunschweig, Germany |
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Abstract: | In many practical optimization problems, evaluation of a solution is subject to noise, e.g., due to stochastic simulations
or measuring errors. Therefore, heuristics are needed that are capable of handling such noise. This paper first reviews the
state-of-the-art in applying simulated annealing to noisy optimization problems. Then, two new algorithmic variants are proposed:
an improved version of stochastic annealing that allows for arbitrary annealing schedules, and a new approach called simulated annealing in noisy environments (SANE). The latter integrates ideas from statistical sequential selection in order to reduce the number of samples required
for making an acceptance decision with sufficient statistical confidence. Finally, SANE is shown to significantly outperform
other state-of-the-art simulated annealing techniques on a stochastic travelling salesperson problem. |
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Keywords: | Simulated annealing Uncertainty Noise Sequential sampling |
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