Simulated annealing in the presence of noise

• Published in: Journal of heuristics Vol. 14; no. 6; pp. 627 - 654
• Main Authors: Branke, Jürgen, Meisel, Stephan, Schmidt, Christian
• Format: Journal Article
• Language: English
• Published: Boston Springer US 01.12.2008; Springer Nature B.V
• Subjects: Algorithms; Artificial Intelligence; Calculus of Variations and Optimal Control; Optimization; Crystallography; Equilibrium; Heuristic; Management Science; Mathematics; Mathematics and Statistics; Metallurgy; Molecular structure; Neighborhoods; Operations Research; Operations Research/Decision Theory; Optimization; Probability; Random variables; Signal to noise ratio; Studies; Traveling salesman problem; Uncertainty; Sequential sampling; Noise; Simulated annealing
• ISSN: 1381-1231; 1572-9397
• DOI: 10.1007/s10732-007-9058-7

In many practical optimization problems, evaluation of a solution is subject to noise, e.g., due to stochastic simulations or measuring errors. Therefore, heuristics are needed that are capable of handling such noise. This paper first reviews the state-of-the-art in applying simulated annealing to noisy optimization problems. Then, two new algorithmic variants are proposed: an improved version of stochastic annealing that allows for arbitrary annealing schedules, and a new approach called simulated annealing in noisy environments (SANE). The latter integrates ideas from statistical sequential selection in order to reduce the number of samples required for making an acceptance decision with sufficient statistical confidence. Finally, SANE is shown to significantly outperform other state-of-the-art simulated annealing techniques on a stochastic travelling salesperson problem.