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Restarting search algorithms with applications to simulated annealing

Part of: Special processes Stochastic processes Markov processes

Published online by Cambridge University Press:  01 July 2016

F. Mendivil ,
R. Shonkwiler  and
M. C. Spruill
F. Mendivil*
Affiliation:
Georgia Institute of Technology
R. Shonkwiler*
Affiliation:
Georgia Institute of Technology
M. C. Spruill*
Affiliation:
Georgia Institute of Technology
*
∗ Current address: Department of Mathematics and Statistics, Acadia University, Wolfville, Nova Scotia, Canada, B0P 1X0.
∗∗ Postal address: School of Mathematics, Georgia Institute of Technology, Atlanta, GA 30332, USA.
∗∗ Postal address: School of Mathematics, Georgia Institute of Technology, Atlanta, GA 30332, USA.
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Abstract

Some consequences of restarting stochastic search algorithms are studied. It is shown under reasonable conditions that restarting when certain patterns occur yields probabilities that the goal state has not been found by the nth epoch which converge to zero at least geometrically fast in n. These conditions are shown to hold for restarted simulated annealing employing a local generation matrix, a cooling schedule Tn ∼ c/n and restarting after a fixed number r + 1 of duplications of energy levels of states when r is sufficiently large. For simulated annealing with logarithmic cooling these probabilities cannot decrease to zero this fast. Numerical comparisons between restarted simulated annealing and several modern variations on simulated annealing are also presented and in all cases the former performs better.

Keywords

random searchstochastic process renewalcoding scheduleminimization

MSC classification

Primary: 60K20: Applications of Markov renewal processes (reliability, queueing networks, etc.) 60G35: Signal detection and filtering 60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) 65K10: Optimization and variational techniques
Type
General Applied Probability
Information
Advances in Applied Probability , Volume 33 , Issue 1 , March 2001 , pp. 242 - 259
Copyright
Copyright © Applied Probability Trust 2001 

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