Journal of Global Optimization

, Volume 8, Issue 1, pp 1–13

Simulated Annealing for noisy cost functions

  • Walter J. Gutjahr
  • Georg Ch. Pflug
Article

Abstract

We generalize a classical convergence result for the Simulated Annealing algorithm to a stochastic optimization context, i.e., to the case where cost function observations are disturbed by random noise. It is shown that for a certain class of noise distributions, the convergence assertion remains valid, provided that the standard deviation of the noise is reduced in the successive steps of cost function evaluation (e.g., by repeated observation) with a speed O(k), where γ is an arbitrary constant larger than one.

Key words

Simulated Annealing stochastic optimization noisy cost functions 

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Copyright information

© Kluwer Academic Publishers 1996

Authors and Affiliations

  • Walter J. Gutjahr
    • 1
  • Georg Ch. Pflug
    • 1
  1. 1.Department of Statistics, OR and Computer ScienceUniversity of ViennaViennaAustria

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