Simulated annealing with hit-and-run for convex optimization: rigorous complexity analysis and practical perspectives for copositive programming
Optimization and Control
2019-07-05 v1
Abstract
We give a rigorous complexity analysis of the simulated annealing algorithm by Kalai and Vempala [Math of OR 31.2 (2006): 253-266] using the type of temperature update suggested by Abernethy and Hazan [arXiv 1507.02528v2, 2015]. The algorithm only assumes a membership oracle of the feasible set, and we prove that it returns a solution in polynomial time which is near-optimal with high probability. Moreover, we propose a number of modifications to improve the practical performance of this method, and present some numerical results for test problems from copositive programming.
Cite
@article{arxiv.1907.02368,
title = {Simulated annealing with hit-and-run for convex optimization: rigorous complexity analysis and practical perspectives for copositive programming},
author = {Riley Badenbroek and Etienne de Klerk},
journal= {arXiv preprint arXiv:1907.02368},
year = {2019}
}