Convergence of a Simulated Annealing Algorithm for Continuous Global Optimization

  • Authors:

  • M. Locatelli

  • Affiliations:

  • Dipartimento di Informatica, Universita di Torino, Corso Svizzera, 185, 10149 Torino, Italy (e-mail: locatell@di.unito.it)

  • Venue:
  • Journal of Global Optimization
  • Year:
  • 2000

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Abstract

In this paper a simulated annealing algorithm for continuous global optimization will be considered. The algorithm, in which a cooling schedule based on the distance between the function value in the current point and an estimate of the global optimum value is employed, has been first introduced in Bohachevsky, Johnson and Stein (1986) [2], but without any proof of convergence. Here it will be proved that, under suitable assumptions, the algorithm is convergent