CUED Publications database

Rigorous finite-time guarantees for optimization on continuous domains by simulated annealing

Lecchini Visintini, A and Lygeros, J and Maciejowski, JM (2007) Rigorous finite-time guarantees for optimization on continuous domains by simulated annealing. In: NIPS 2007: Neural Information Processing Systems, 2007-12-3 to 2007-12-6, Vancouver, Canada -..

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Abstract

Simulated annealing is a popular method for approaching the solution of a global optimization problem. Existing results on its performance apply to discrete combinatorial optimization where the optimization variables can assume only a finite set of possible values. We introduce a new general formulation of simulated annealing which allows one to guarantee finite-time performance in the optimization of functions of continuous variables. The results hold universally for any optimization problem on a bounded domain and establish a connection between simulated annealing and up-to-date theory of convergence of Markov chain Monte Carlo methods on continuous domains. This work is inspired by the concept of finite-time learning with known accuracy and confidence developed in statistical learning theory.

Item Type: Conference or Workshop Item (UNSPECIFIED)
Subjects: UNSPECIFIED
Divisions: Div F > Control
Depositing User: Cron Job
Date Deposited: 07 Mar 2014 12:43
Last Modified: 10 Nov 2014 01:05
DOI: