Multiple-Try Simulated Annealing Algorithm for Global Optimization

الملخص EN

Simulated annealing is a widely used algorithm for the computation of global optimization problems in computational chemistry and industrial engineering.

However, global optimum values cannot always be reached by simulated annealing without a logarithmic cooling schedule.

In this study, we propose a new stochastic optimization algorithm, i.e., simulated annealing based on the multiple-try Metropolis method, which combines simulated annealing and the multiple-try Metropolis algorithm.

The proposed algorithm functions with a rapidly decreasing schedule, while guaranteeing global optimum values.

Simulated and real data experiments including a mixture normal model and nonlinear Bayesian model indicate that the proposed algorithm can significantly outperform other approximated algorithms, including simulated annealing and the quasi-Newton method.