Journal of Global Optimization

, Volume 39, Issue 1, pp 1–37 | Cite as

Simulated annealing with asymptotic convergence for nonlinear constrained optimization

Original Paper

Abstract

In this paper, we present constrained simulated annealing (CSA), an algorithm that extends conventional simulated annealing to look for constrained local minima of nonlinear constrained optimization problems. The algorithm is based on the theory of extended saddle points (ESPs) that shows the one-to-one correspondence between a constrained local minimum and an ESP of the corresponding penalty function. CSA finds ESPs by systematically controlling probabilistic descents in the problem-variable subspace of the penalty function and probabilistic ascents in the penalty subspace. Based on the decomposition of the necessary and sufficient ESP condition into multiple necessary conditions, we present constraint-partitioned simulated annealing (CPSA) that exploits the locality of constraints in nonlinear optimization problems. CPSA leads to much lower complexity as compared to that of CSA by partitioning the constraints of a problem into significantly simpler subproblems, solving each independently, and resolving those violated global constraints across the subproblems. We prove that both CSA and CPSA asymptotically converge to a constrained global minimum with probability one in discrete optimization problems. The result extends conventional simulated annealing (SA), which guarantees asymptotic convergence in discrete unconstrained optimization, to that in discrete constrained optimization. Moreover, it establishes the condition under which optimal solutions can be found in constraint-partitioned nonlinear optimization problems. Finally, we evaluate CSA and CPSA by applying them to solve some continuous constrained optimization benchmarks and compare their performance to that of other penalty methods.

Keywords

Asymptotic convergence Constrained local minimum Constraint partitioning Simulated annealing Dynamic penalty methods Extended saddle points Nonlinear constrained optimization 

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Copyright information

© Springer Science+Business Media, Inc. 2006

Authors and Affiliations

  1. 1.Department of Electrical and Computer Engineering and the Coordinated Science LaboratoryUniversity of IllinoisUrbanaUSA
  2. 2.Department of Computer ScienceWashington UniversitySt. LouisUSA
  3. 3.Synopsys Inc.Mountain ViewUSA

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