Kinetic simulated annealing optimization with entropy-based cooling rate

arXiv (Cornell University)

Abstract

We present a modified simulated annealing method with a dynamical choice of the cooling temperature. The latter is determined via a closed-loop control and is proven to yield exponential decay of the entropy of the particle system. The analysis is carried out through kinetic equations for interacting particle systems describing the simulated annealing method in an extended phase space. Decay estimates are derived under the quasi-invariant scaling of the resulting system of Boltzmann-type equations to assess the consistency with their mean-field limit. Numerical results are provided to illustrate and support the theoretical findings.

Authors 2

1. Michaël Herty Aachen Institut für Geometrie und Praktische Mathematik

   RWTH Aachen University

   Affiliation as printed

   RWTH Aachen University , Institut für Geometrie und Praktische Mathematik , Templergraben 55 , 52062 Aachen , Germany

2. Mattia Zanella

   University of Pavia

   Affiliation as printed

   University of Pavia , Department of Mathematics "F. Casorati" , Via A. Ferrata 5 , 27100 Pavia , Italy