Very fast simulated re-annealing

  • Authors:
  • L. Ingber

  • Affiliations:
  • Physics Department, Code 61IL, Naval Postgraduate School, Monterey, CA 93943, U.S.A.

  • Venue:
  • Mathematical and Computer Modelling: An International Journal
  • Year:
  • 1989

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Abstract

An algorithm is developed to statistically find the best global fit of a nonlinear nonconvex cost-function over a D-dimensional space. It is argued that this algorithm permits an annealing schedule for ''temperature'' T decreasing exponentially in annealing-time k, T = T"0exp(-ck^1^/^D). The introduction of re-annealing also permits adaptation to changing insensitivities in the multi-dimensional parameter-space. This annealing schedule is faster than fast Cauchy annealing, where T = T"0/k, and much faster than Boltzmann annealing, where T = T"0/1nk. Applications are being made to fit empirical data to Lagrangians representing nonlinear Gaussian-Markovian systems.