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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 ISSN 1381-1231.
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Official URL: http://dx.doi.org/10.1007/s10732-007-9058-7
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 | ||||
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Divisions: | Faculty of Social Sciences > Warwick Business School > Operational Research & Management Sciences Faculty of Social Sciences > Warwick Business School |
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Journal or Publication Title: | Journal of Heuristics | ||||
Publisher: | Springer New York LLC | ||||
ISSN: | 1381-1231 | ||||
Official Date: | December 2008 | ||||
Dates: |
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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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