Improving Simulated Annealing through Derandomization

Mathieu Gerber; Luke Bornn

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arXiv · 1505.03173

Improving Simulated Annealing through Derandomization

Mathieu Gerber·Luke Bornn

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Abstract

We propose and study a version of simulated annealing (SA) on continuous state spaces based on $(t,s)_R$-sequences. The parameter $R\in\bar{\mathbb{N}}$ regulates the degree of randomness of the input sequence, with the case $R=0$ corresponding to IID uniform random numbers and the limiting case $R=\infty$ to $(t,s)$-sequences. Our main result, obtained for rectangular domains, shows that the resulting optimization method, which we refer to as QMC-SA, converges almost surely to the global optimum of the objective function $φ$ for any $R\in\mathbb{N}$. When $φ$ is univariate, we are in addition able to show that the completely deterministic version of QMC-SA is convergent. A key property of these results is that they do not require objective-dependent conditions on the cooling schedule. As a corollary of our theoretical analysis, we provide a new almost sure convergence result for SA which shares this property under minimal assumptions on $φ$. We further explain how our results in fact apply to a broader class of optimization methods including for example threshold accepting, for which to our knowledge no convergence results currently exist. We finally illustrate the superiority of QMC-SA over SA algorithms in a numerical study.

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BibTeX RIS

Mathieu Gerber, Luke Bornn. 2016-09-05. Improving Simulated Annealing through Derandomization. https://arxiv.org/abs/1505.03173

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