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Simulated annealing in the presence of noise

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Branke, Jürgen, Meisel, Stephan and Schmidt, Christian (2008) Simulated annealing in the presence of noise. Journal of Heuristics, Vol.14 (No.6). pp. 627-654. doi:10.1007/s10732-007-9058-7

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Official URL: http://dx.doi.org/10.1007/s10732-007-9058-7

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Abstract

In many practical optimization problems, evaluation of a solution is subject to noise, e.g., due to stochastic simulations or measuring errors. Therefore, heuristics are needed that are capable of handling such noise. This paper first reviews the state-of-the-art in applying simulated annealing to noisy optimization problems. Then, two new algorithmic variants are proposed: an improved version of stochastic annealing that allows for arbitrary annealing schedules, and a new approach called simulated annealing in noisy environments (SANE). The latter integrates ideas from statistical sequential selection in order to reduce the number of samples required for making an acceptance decision with sufficient statistical confidence. Finally, SANE is shown to significantly outperform other state-of-the-art simulated annealing techniques on a stochastic travelling salesperson problem.

Item Type: Journal Article
Divisions: Faculty of Social Sciences > Warwick Business School > Operational Research & Management Sciences
Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Journal of Heuristics
Publisher: Springer New York LLC
ISSN: 1381-1231
Official Date: December 2008
Dates:
DateEvent
December 2008Published
Volume: Vol.14
Number: No.6
Page Range: pp. 627-654
DOI: 10.1007/s10732-007-9058-7
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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