Adaptive search with stochastic acceptance probabilities for global optimization |
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| Authors: | Archis Ghate Robert L. Smith |
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| Affiliation: | a Industrial Engineering, University of Washington, Box 352650, Seattle, WA 98195, USA
b Industrial and Operations Engineering, University of Michigan, Ann Arbor, MI 48109, USA |
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| Abstract: | We present an extension of continuous domain Simulated Annealing. Our algorithm employs a globally reaching candidate generator, adaptive stochastic acceptance probabilities, and converges in probability to the optimal value. An application to simulation-optimization problems with asymptotically diminishing errors is presented. Numerical results on a noisy protein-folding problem are included. |
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| Keywords: | Simulated annealing Markov chain Monte Carlo Noisy objective functions |
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