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Concept
Simulated annealing
Summary
Simulated annealing (SA) is a probabilistic technique for approximating the global optimum of a given function. Specifically, it is a metaheuristic to approximate global optimization in a large search space for an optimization problem. For large numbers of local optima, SA can find the global optima. It is often used when the search space is discrete (for example the traveling salesman problem, the boolean satisfiability problem, protein structure prediction, and job-shop scheduling). For problems where finding an approximate global optimum is more important than finding a precise local optimum in a fixed amount of time, simulated annealing may be preferable to exact algorithms such as gradient descent or branch and bound.
The name of the algorithm comes from annealing in metallurgy, a technique involving heating and controlled cooling of a material to alter its physical properties. Both are attributes of the material that depend on their thermodynamic free energy. Heating and cooling the material affects both the temperature and the thermodynamic free energy or Gibbs energy.
Simulated annealing can be used for very hard computational optimization problems where exact algorithms fail; even though it usually achieves an approximate solution to the global minimum, it could be enough for many practical problems.
The problems solved by SA are currently formulated by an objective function of many variables, subject to several mathematical constraints. In practice, the constraint can be penalized as part of the objective function.
Similar techniques have been independently introduced on several occasions, including Pincus (1970), Khachaturyan et al (1979, 1981), Kirkpatrick, Gelatt and Vecchi (1983), and Cerny (1985). In 1983, this approach was used by Kirkpatrick, Gelatt Jr., Vecchi, for a solution of the traveling salesman problem. They also proposed its current name, simulated annealing.
This notion of slow cooling implemented in the simulated annealing algorithm is interpreted as a slow decrease in the probability of accepting worse solutions as the solution space is explored.
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