MATLAB: Simulated Annealing – Parameters definition

simulated annealing - parameter definition

Dear all, I would be grateful if someone can give me a help in setting parameters for a Simulated Annealing optimization process. I have defined a Lower and Upper Bounds for my parameters but is there a way to specify the minimum step increase? In fact some of my parameters need to be integer (e.g. ranging from 1 to 10 with minimum step of 1) and the definition of minimum step would decrease computation time. If it's not possible do you know if there is an alternative similar optimization method where you can specify Lower, Upper Bound and minimum step increase? Thank you in advance for your suggestions and help. Regards

Best Answer

If you are using simulannealbnd then there is no way to enforce integer constraints. ga is the only Global Optimization Toolbox that allows integer constraints.

Alan Weiss

MATLAB mathematical toolbox documentation

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Negate the objective that you want to maximize.

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The constraint you have is not a bound, it is a linear inequality constraint that cannot be represented by a bound.

I strongly suggest that you do not use simulannealbnd for this problem, and instead use fmincon if your objective function is smooth, and use patternsearch otherwise. If you are looking for a global solution, then start the solver from a variety of initial points

x0 = lb + rand(size(lb)).*(ub - lb);

By the way, you wrote that your lower bound is x >= 1, not x >= 0, since you said lb = ones and not zeros.

Alan Weiss

MATLAB mathematical toolbox documentation

Best Answer

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