Convergence rate of a simulated annealing algorithm with noisy observations

MaRDI QIDQ5381109zbMATH OpenFDO

Authors Clément Bouttier, Ioana Gavra

Publication date 7 June 2019

Full work available at URL https://arxiv.org/abs/1703.00329, http://jmlr.csail.mit.edu/papers/v20/16-588.html

zbMATH Keywords

aircraft trajectory optimizationconvergence rateMarkov processsimulated annealingstochastic optimization

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Transition functions, generators and resolvents (60J35) Stochastic programming (90C15)

Abstract: In this paper we propose a modified version of the simulated annealing algorithm for solving a stochastic global optimization problem. More precisely, we address the problem of finding a global minimizer of a function with noisy evaluations. We provide a rate of convergence and its optimized parametrization to ensure a minimal number of evaluations for a given accuracy and a confidence level close to 1. This work is completed with a set of numerical experimentations and assesses the practical performance both on benchmark test cases and on real world examples.

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Cited in

(6)

• Simulated annealing in the presence of noise
• Simulated annealing with noisy or imprecise energy measurements
• Simulated annealing for noisy cost functions
• scientific article; zbMATH DE number 1203374 (Why is no real title available?)
• Optimal Sampling for Simulated Annealing Under Noise
• Re-use of samples in stochastic annealing

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• EGO

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