A simulated annealing driven multi-start algorithm for bound constrained global optimization |
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Authors: | M.M. Ali M.N. Gabere |
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Affiliation: | School of Computational and Applied Mathematics, University of the Witwatersrand, Wits 2050, Johannesburg, South Africa |
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Abstract: | 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. |
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Keywords: | Simulated annealing Positive spanning direction Direct search methods Pattern search Global optimization Multi-level single linkage |
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