Sequential Monte Carlo simulated annealing

Authors:
Enlu Zhou;Xi Chen
Affiliations:
Department of Industrial & Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, Urbana, USA 61801;Department of Industrial & Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, Urbana, USA 61801
Venue:
Journal of Global Optimization
Year:
2013

Citing 16
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Abstract

In this paper, we propose a population-based optimization algorithm, Sequential Monte Carlo Simulated Annealing (SMC-SA), for continuous global optimization. SMC-SA incorporates the sequential Monte Carlo method to track the converging sequence of Boltzmann distributions in simulated annealing. We prove an upper bound on the difference between the empirical distribution yielded by SMC-SA and the Boltzmann distribution, which gives guidance on the choice of the temperature cooling schedule and the number of samples used at each iteration. We also prove that SMC-SA is more preferable than the multi-start simulated annealing method when the sample size is sufficiently large.