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General simulated annealing algorithm 1.0

  Date Added: September 14, 2013  |  Visits: 225

General simulated annealing algorithm

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anneal Minimizes a function with the method of simulated annealing (Kirkpatrick et al., 1983) ANNEAL takes three input parameters, in this order:LOSS is a function handle (anonymous function or inline) with a loss function, which may be of any type, and needn't be continuous. It does, however, need to return a single value. PARENT is a vector with initial guess parameters. You must input an initial guess. OPTIONS is a structure with settings for the simulated annealing. If no OPTIONS structure is provided, anneal uses a default structure. OPTIONS can contain any or all of the following fields (missing fields are filled with default values): Verbosity: Controls output to the screen. 0 suppresses all output 1 gives final report only [default] 2 gives temperature changes and final report Generator: Generates a new solution from an old one. Any function handle that takes a solution as input and gives a valid solution (i.e. some point in the solution space) as output. The default function generates a row vector which slightly differs from the input vector in one element: @(x) (x+(randperm(length(x))==length(x))*randn/100). Other examples of possible solution generators: @(x) (rand(3,1)): Picks a random point in the unit cube. @(x) (ceil([9 5].*rand(2,1))): Picks a point in a 9-by-5 discrete grid.Note that if you use the default generator, ANNEAL only works on row vectors. For loss functions that operate on column vectors, use this generator instead of the default: @(x) (x(:)'+(randperm(length(x))==length(x))*randn/100)' InitTemp: The initial temperature, can be any positive number. Default is 1. StopTemp: Temperature at which to stop, can be any positive number smaller than InitTemp. Default is 1e-8. StopVal: Value at which to stop immediately, can be any output of LOSS that is sufficiently low for you. Default is -Inf. CoolSched: Generates a new temperature from the previous one. Any function handle that takes a scalar as input and returns a smaller but positive scalar as output. Default is @(T) (.8*T). MaxConsRej: Maximum number of consecutive rejections, can be any positive number. Default is 1000. MaxTries: Maximum number of tries within one temperature, can be any positive number. Default is 300. MaxSuccess: Maximum number of successes within one temperature, can be any positive number. Default is 20. Usage: [MINIMUM,FVAL] = ANNEAL(LOSS,NEWSOL,[OPTIONS]); MINIMUM is the solution which generated the smallest encountered value when input into LOSS. FVAL is the value of the LOSS function evaluated at MINIMUM. OPTIONS = ANNEAL(); OPTIONS is the default options structure. Example: The so-called six-hump camelback function has several local minima in the range -3

Requirements: No special requirements
Platforms: Matlab
Keyword: Anneallossnewsoloptions Consecutive Encountered Evaluated Generated Maximum Maxsuccess Maxtries Minimum Minimumfval Options Rejections Smallest Socalled Stoptemp Successes Usage
Users rating: 0/10

License: Freeware Size: 10 KB
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