C. Morey et al., A FEEDBACK ALGORITHM FOR DETERMINING SEARCH PARAMETERS FOR MONTE-CARLO OPTIMIZATION, Journal of computational physics (Print), 146(1), 1998, pp. 263-281
Monte Carlo methods have become popular for obtaining solutions to glo
bal optimization problems. One such Monte Carlo optimization technique
is simulated annealing (SA). Typically in SA the parameters of the se
arch are determined a priori. Using an aggregated, or lumped, version
of SA's associated Markov chain and the concept of expected hitting ti
me, we adjust the search parameters dynamically using information gain
ed from the SA search process. We present an algorithm that varies the
SA search parameters dynamically, and show that, on average, dynamic
adjustment of the parameters attains better solutions on a set of test
problems than those attained with a logarithmic cooling schedule. (C)
1998 Academic Press.