Simulated Annealing: Basics and Application Examples

Simulated Annealing: Basics and application examples
Introduction
Simulated Annealing: Basics and application

examples
By Ricardo Alejos
I. Introduction
Finding the global minimum can be a hard optimization problem since the objective functions can have many local
minima. A procedure for solving such problems should sample values of the objective function in such a way as to
have a high probability of finding a near-optimal solution and lend itself to efficient implementation. Such criteria
is met by the Simulated Annealing method which was introduced by Kirkpatrick et al. and independently by Cerny
in early 1980s.
Simulated Annealing (SA) is a stochastic computational technique derived from statistical mechanics for finding
near globally-minimum-cost solutions to large optimization problems [1].
Statistical mechanics is the study of the behavior of large systems of interacting components, such as atoms in a
fluid, in thermal equilibrium at a finite temperature. If the system is in thermal equilibrium, then its particles have
a probability to change from one state of energy to another given by Boltzmann distribution which is dependent on
the system temperature and the magnitude of the pretended energy change. This in such a way that higher temperatures allow random changes while low temperatures tend to allow only decreasing energy state changes.
In order to achieve a low-energy state, one must use an annealing process, which consists on elevating the system
temperature and gradually lower it down and spending enough time at each temperature to reach thermal equilibrium.
In contrast to many of the classical optimization methods, this one is not based in gradients and it does not has a
deterministic convergence: the same seed and parametric configuration may make the algorithm converge to a different solution from one run to another. This is due to the random nature on how it decides to make its steps towards
the final candidate solution.
Such behavior may not result in the most precise/optimal solution, however it has other exploitable advantages: it
can get unstuck from local optimum points when the algorithm is in a high-energy state, it can deal with noisy
objective functions, and it can be used for combinatorial/discrete optimization, among others. All this with a small
number of iterations / function evaluations in comparison to other optimization methods. When applicable, the SA
algorithm can be used alternately with other methods to increase the accuracy of the final solution.
In this document the basic theory of this algorithm is explained and some of its benefits are verified with practical
examples.
II. Basic theory of Simulated Annealing

The name of this algorithm is inspired from metallurgy. In that discipline, annealing consists on a technique that
involves heating a metal and cooling it down in a controlled manner such that it can increase the size of the solid
crystals and therefore reduce their defects. This notion of slow cooling is implemented in the SA to decrease the
probability of accepting local optimum values of the objective function.
Page 1

Practical examples
Each state (solution candidate) can be considered as a node which is interconnected to other nodes. The current
node may change from one position to the other depending on the change of magnitude of the objective function.
Such principle is implemented in a way that worse candidates are less likely to be accepted than better ones, favoring
the creation of a path towards de optimal solution.
Each next-node-candidate is generated randomly. A popular variant of the original SA also considers a temperature
dependent step size which balances the chances of escaping from local optimum values and the precision of the
final found solution candidate.
Lets consider our current node is c and that the next generated candidate is n. This step has a probability P(c,n) of
being taken and 1-P(c,n) of being rejected. When a candidate is accepted the next thing to do is just make c=n; and
when a candidate is rejected then a new one is generated. After this the process is repeated (all this details can be
better understood by looking at the pseudo-code included in this document). The probability function is described
with the mathematical expression in (1).
P (c, n )
1
1 e E / T
(1)
Where E is the change on the objective function value from c to n, and T is the current algorithm temperature
parameter value. Notice that this function tends to have a value of 0.5 when T>>E and that it varies from ~0 to
~1 in other cases. Therefore, the higher the temperature the more random the algorithm becomes (which matches
with its natural model) and any candidate get the same chance of being chosen or rejected.
When T1 the behavior of P(c,n) becomes very similar to an time-inverted unit-step-function: its value goes rapidly to 0 when E>0 and to 1 when E<0. This means that, when the temperature goes very low, only good candidates will be chosen and that all bad candidates will be rejected. This behavior is illustrated in Figure 1 for different
values of T.
The values of T are determined by a custom function of time (or iterations) that is called cooling function or temperature profile. Changing the temperature profile can lead to different properties of the SA. For example, a simple
decreasing ramp may provoke different performance than a slower transition function. A periodic temperature profile may lead to the possibility of abandoning local optimum values to get a better one.
The graphs in Figure 2 show different temperature profiles with the properties mentioned in the previous paragraph.
The best choice depends on the characteristics of each problem and the strategy that the engineer pretends to use.
The pseudo-code can be consulted in TABLE 1 [2].
The current implementation

As mentioned before, this basic version can be altered to exploit other features such as custom temperature profiles,
controlled/variable step-size, return the best candidate instead of the last one (which allows better recursion techniques), controlled candidate ranges, a custom exit criteria (the original algorithm exits until the entire temperature
profile has been swept) and etcetera. Most of this features have been added to the algorithm version used along this
study. The MATLAB code used for this work can be found in TABLE 2.
III.
Practical examples
In this section the SA algorithm performance is studied and compared against the Conjugate Gradients (FR) and
the Nelder-Mead (native from MATLAB) optimization algorithms. This is done across a collection of problems
Page 2

Practical examples
that make patent the advantages and disadvantages of these methods and gives an idea on how they complement
each other.
Case 1: Bowl function

The Bowl function is a well-behaved and easy to optimize function that serves as a good first test for optimization
algorithms. The mathematical expression that describes it is written as (2). Its analytic minimum can be calculated
analytically to be x=[6, 4.5]T.
y ( x1 6) 2
1
( x 2 4.5) 4
25
(2)
In order to assess the Simulated Annealing algorithm performance, it is compared with the Conjugate Gradients FR
and the Nelder Mead algorithms. The results of applying them to the Bowl function are shown in the TABLE 3.
Also, as a visual aid on how the Simulated Annealing chooses the next steps please look at the Figure 3.
With the purpose of exploring the behavior far away from the optimum point, lets trigger the algorithm using the
point [-20, 60] as the seed value. The results can be checked in TABLE 4 and the Simulated Annealing algorithm
evolution can be observed in Figure 4.
Case 2: Bowl function with random noise

This test case basically consists on adding a relatively small amount of noise to the objective function. In this case
it is a Gaussian noise centered in the function value at each point with a standard deviation of 0.5. Just as before, a
set of experiments were made using the same algorithms to assess the performance of each one compared to the
others. The results are shown in TABLE 5 while the Simulated Annealing algorithm evolution is visually described
in Figure 5.
Case 3: Multiple local minimum points

For this test, the function to use is a periodic and exponentially decreasing function. With the purpose of illustrating
it using graphs the exercise keeps the function dimensionality. The math expression that describes this function is
(3).
x1 x2
10
4x1
2 4x 2
y sin
cos
e
13
13
2
(3)
Lets also limit the solution space to the range 0 to 12 for both x1 and x2. With this scenario the analytic solution
happens at [11.4285, 9.8035]. Such limits are incorporated to the problem with punishment functions which increase the value of the function as it goes away from the ranges of interest.
The results of such experiments, as well as the Simulated Annealing evolution are shown in TABLE 6 and Figure
6 correspondingly.
Case 4: Low-pass filter on micro-strip technology

This exercise consists on finding the size parameters that allow the next low-pass filter match its specification
requirements (which are known to be strict). Such requirements are shown below this paragraph and they have to
be met by varying x=[W1, L1, S1]T while preserving z=[H, r, Wp, Lp, tan(), , t]:
S11 0.9 for 0.2GHz f 6GHz

S 21 0.1 for 8GHz f 10 GHz
Page 3

Conclusions
The value of z is [0.794mm, 2.2, 2.45mm, 12.25mm, 0.01, 5.8107S/m, 15.24m]. Such dimensions and the filter
geometry can be visualized in Figure 7.
This problem can be solved using a mini-max formulation, where the objective function is the maximum error with
respect to the spec requirements. In this kind of formulations, the maximum error has to become less than zero to
meet all the specs.
As the last example, it has many local minimums which made other algorithms converge into them. For this problem
the SA algorithm is fed with a periodic (re-heating) temperature profile. Such profiles make the algorithm recover
a big step-size and randomness after they were near to convergence in the first cycle, and that is how the SA can
escape the local minimums.
The TABLE 7 shows the results of each of the three algorithms we have been using to make the comparison. Even
though that the Nelder-Mead algorithm was able to achieve a negative maximum error, it doubled the cost that the
SA algorithm took to find its nearby solution. For such cases the designer has to decide on the tradeoff between the
computation cost and the quality of the solution when choosing an optimization algorithm. The Conjugate Gradients
algorithm did not work as well as the other two algorithms.
Refer to the Figure 8 to visualize the algorithm evolution in terms of the maximum design error.
Case 5: Noisy filter optimization

In this last case, the same problem as case 4 is solved but now with added complexity: random noise was added to
the circuit response. This noise has its mean centered to the target function value with a standard deviation of 0.1.
Refer to the experiment results in TABLE 8. Both seeds make the SAs algorithm to find near-to-zero solutions,
however, the Nelder-Mead has an acceptable performance just in the first one (the second one diverges by almost
90% of the maximum error).
So other valuable application for the SAs algorithm is not just direct optimization over complex problems but also
a good seed finder for finer optimization algorithms. In this case, after using the last SA solution and then applying
it to the Nelder-Mead algorithm it gets a final objective function value of 0.0646 (however it still evaluates the
function 601 times).
IV. Conclusions
The SA algorithm is a cheap optimization method compared to gradient based methods and the Nelder-Mead algorithm. Its capability of locating good-enough solutions in very short number of iterations makes it a tool that can be
used for initial objective function exploration. Once a set of good candidate solutions are gotten, the algorithm can
be adapted to finer steps and less randomness in order to achieve more precise solutions. Otherwise, its inexact
solutions can be used as seed values for other optimization algorithms that otherwise would get stuck in local minimum points along the objective function if they were initiated using the original seed value.
In order to increase the capability of the SA algorithm to escape the local minimum points, periodic temperature
profiles can be used so the function can recover the solution mobility after settling to a candidate solution. If it
happens to lose a global maximum due to this recovered randomness it will still report the most optimum point
along the search.
Having a variable step size (determined by the current algorithm temperature) also allows the algorithm to gradually
change its search style from coarse to fine benefiting its global solution search. Configuring the step is also helpful
when the objective function is noisy, since such functions tend to make gradient based algorithms to diverge since
they take the neighbor function values to determine the search direction and step magnitude.
Page 4

References
Noisy functions is a problem that is frequently observed when real-world measurements are done. And this is because all measurements have a range of uncertainty, which can be modeled as noise. Other methods that are used
to solve this kind of problems are based in the idea of averaging a set of samples of the objective function evaluated
in a fixed point. Such method has a good effectiveness in terms of finding a good candidate solution, however they
tend to increase the function evaluation cost exponentially (which does not happen with SA).
V. References
[1] J. Gall, "Simulated Annealing," in Computer Vision. A Reference Guide., Tbingen, Germany, Springerlink,
2014, p. 898.
[2] P. Rossmanith, "Simulated Annealing," in Algorithms Unplugged, Springerlink, 2011, p. 406.
[3] P. v. d. H. J. K. W. M. H. S. E. Aarts, "Simulated Annealing," in Metaheuristic Procedures for Training Neural
Networks, Springerlink, 2006.
Page 5

Appendix
VI. Appendix
Tables
TABLE 1.
PSEUDO CODE FOR THE SIMULATED ANNEALING ALGORITHM. NOTICE THAT THE ACCEPTANCE OF A NEW POINT HAPPENS WITH A PROBABILITY P GIVEN BY THE PROBABILITY FUNCTION (1).
Make the seed value our current node (c=x0)

Evaluate the objective function in the seed value (E0=f(c))
For each temperature T value in a decreasing normalized set ({1 0}):
Generate a new step candidate (n)
Evaluate the objective function in the new step candidate (E1=f(n))
If P(c,n) > random(0,1)
Accept the new candidate (c=n)
Output: Final node value.
TABLE 2.
MATLAB IMPLEMENTATION OF THE SIMULATED ANNEALING ALGORITHM WITH THE IMPROVEMENTS MENTIONED IN THE
SECTION The current implementation.
function [x_opt, f_val, XN, FN] = SimulatedAnnealing2(f, x0, t, s, l)

%{
Simulated Annealing - Optimization Algorithm
Inputs
f - Function to be optimized
x0 - Seed value of independent variable of "f"
t - Vector with temperature values
s - Step size [Maximum Minimum]
l - x limits [min(x); max(x)]
Ouputs
x_opt - x value that minimizes "f" to the found minimum.
f_val - value of "f" at x_opt
XN - x value history during the algorithm run
FN - f value history during the algorithm run
The more the cost of f is, the shorter the t vector should be.
%}
N = 1:1:length(t); % iterator
P = @(DE,T) 1/(1+exp(DE/T)); % bigger when DE is more negative
S = @(T) (s(2)-s(1))/(max(t)-min(t))*(T-min(t))+s(2); % linear step-size calculation in function of temperature
xn = x0;
XN = zeros(length(t), length(x0));
FN = zeros(length(t),1);
c=0;
f0 = feval(f,xn);
fn = f0;
for n = N
T = t(n);
% update current temperature
while (1)
xt = rand(size(xn))-0.5; % generate random direction
xt = xt/norm(xt,2);
% make direction vector unitary
xt = xt*S(T);
% scale step size
Page 6

Appendix
xt = xn + xt;
% advance that step
if (sum(xt>l(1,:))==length(xt) && sum(xt<l(2,:))==length(xt))
break
end
end
ft = feval(f,xt);
% evaluate function at test point
DE = ft-fn;
% delta between current and test function values
p = P(DE,T);
% probability for xt of being accepted
r = rand();
% random decider
if (r<p)
xn=xt;
fn=ft;
c=c+1;
end
XN(n,:)=xn;
FN(n)=fn;
end
XN = [x0;XN];
FN = [f0;FN];
f_val = min(FN);
f_val = f_val(1);
x_opt = XN(FN==f_val,:);
x_opt = x_opt(1,:);
end
TABLE 3.
RESULTS OF MINIMIZING THE BOWL FUNCTION BY USING THE CONJUGATED GRADIENTS FR, NELDER-MEAD AND SIMULATED ANNEALING (SA) ALGORITHMS. NOTICE THAT THE SIMULATED ANNEALING IS NOT PERFORMING AS WELL AS THE
OTHER METHODS IN TERMS OF PRECISION. HOWEVER, IT GETS NEAR TO THE ANALYTIC SOLUTION WITH VERY FEW
FUNCTION EVALUATIONS.
Algorithm
Seed value
Conjugate Gradi- [1, 1]

ents FR
Nelder-Mead
SA (70 elements in
downward
ramp
profile)
SA (30 elements in
downward
ramp
profile)
SA (10 elements
downward
ramp
profile)
Found solution
[6.0000 4.4300]
Function
tions
31
evalua- Euclidean norm of

error
0.07
[6.0000 4.5000]
[6.3730 5.7405]
174
70
3.6161e-06
0.0855
[5.9731 3.5287]
30
0.9717
[5.8626 5.1233]
10
0.6382
TABLE 4.
RESULTS OF MINIMIZING THE BOWL FUNCTION NOW USING [20,60] AS THE SEED VALUE FOR EACH ALGORITHM. NOTICE HOW THE CONJUGATE GRADIENTS FR ALGORITHM REQUIRES MUCH MORE FUNCTION ITERATIONS BEFORE CONVERGING TO A SOLUTION, WHILE THE NELDER-MEAD AND THE SIMULATED ANNEALIGN ALGORITHMS CONSERVE THE
NUMBER OF FUNCTIONS EVALUATIONS TO GET TO A POINT NEAR THE SOLUTION.
Algorithm
Seed value
Found solution
Page 7
Function
tions

error

Appendix
Conjugate Gradi- [-20, 60]
ents FR
Nelder-Mead
SA (70 elements in
downward
ramp
profile)
SA (30 elements in
downward
ramp
profile)
[6.0000 4.4226]
9688
0.0774
[6.0000 4.5000]
[5.8363 4.8158]
180
70
1.3098e-06
0.3557
[6.0663 4.0117]
30
0.4928
TABLE 5.
RESULTS FROM THE EXPERIMENTS MADE WITH THE NOISY BOWL FUNCTION AND USING THE CONJUGATE GRADIENT FR,
NELDER-MEAD AND THE SIMULATED ANNEALING (10 FUNCTION EVALUATIONS ONLY). NOW IT BECOMES OBVIOUS THAT
THE SIMULATED ANNEALING GOT A MUCH BETTER RESULT THAN THE OTHER ALGORITHMS WHICH SIMPLY DIVERGE
FROM THE ANALYTIC SOLUTION.
Algorithm
Conjugate
ents FR
Seed value
Gradi- [1, 1]
Nelder-Mead
SA (10 elements
downward
ramp
profile)
Found solution
Function
tions
37317
[5.8477 -1.0434]
(maxed out iterations)
[1.0590 0.9977]
401
(maxed out function
evaluations)
[6.0581 4.3855]
10

error
5.5455
6.0563
0.1284
TABLE 6.
RESULTS OF APPLICATION OF THE CONJUGATE GRADIENTS FR, NELDER-MEAD AND SIMULATED ANNEALING ALGORITHMS FOR MINIMIZING THE FUNCTION DESCRIBED BY (3). NOTICE NOW THAT THE SIMULATED ANNEALING ALGORITHM IS THE ONE THAT IS CAPABLE OF GETTING A MUCH BETTER RESULT THAN THE OTHER ALGORITHMS. IT ALSO
NEEDED MORE TRIES IN ORDER TO GET SUCH SOLUTIONS (EACH TRY THROWS A DIFFERENT RESULT AS IT WORKS AS A
STOCHASTIC PROCESS
Algorithm
Seed value
Found solution
Conjugate Gradi- [4, 4]

ents FR
Nelder-Mead
[4.9285 3.3035]
Function
tions
54
[4.9285 3.3035]
80
9.1924
SA (10 elements
downward
ramp
profile)
SA (30 elements
downward
ramp
profile) 5 tries.
SA (30 elements 3
cycle sawtooth) 2
tries.
SA (90 elements 3
cycle sawtooth)
[5.2441 7.0207]
10
6.7817
[11.0842 9.8603]
30*5=150
0.3490
[11.3353 10.0847]
30*2=60
0.2963
[11.2248 9.8939]
90
0.2229
Page 8

error
9.1924

Appendix
SA (90 elements 3
cycle sawtooth)
[11.6230 9.8049]
90
0.1945
TABLE 7
RESULTS OF MINIMIZING THE ERROR WITH RESPECT TO THE DESIGN SPECIFICATIONS FOR THE FILTER DESCRIBED IN
Case 4: Low-pass filter on micro-strip technology USING THE CONJUTAGE GRADIENTS FR, NELDER-MEAD AND SIMULATED ANNEALING ALGORITHMS. IN THIS CASE, THE NELDER-MEAD PERFORMED THE BEST, FOLLOWED BY THE SIMULATED ANNEALING ALGORITHM. THE CONJUGATE GRADIENTS FR METHOD DID NOT CONVERGE TO A SOLUTION EVEN AFTER
MORE THAN 30000 FUNCTION EVALUATIONS.
Algorithm
Seed value (mm)
Conjugate Gradi- [3.5 5.6 4.2]

ents FR
Nelder-Mead
Simulated Annealing
Found
solution
(mm) Relative to
seed
[1.4002
6.1634
4.9724]
[0.2730
1.1980
0.9154]
[0.5438
0.9741
1.6639]
Maximum error Function

value at solution
tions
0.1753
37317
-0.0077
163
0.0837
63
evalua-
TABLE 8.
RESULTS OF MINIMIZING THE MAXIMUM ERROR FOR THE DESIGN PROBLEM Case 5: Noisy filter optimization. THE SAME FILTER AS IN Case 4: Low-pass filter on micro-strip technology HAS BEEN USED, BUT THIS TIME THERE IS A WHITE NOISE COMPONENT ADDED TO THE FILTER RESPONSE MAKING THIS PROBLEM MORE DIFFICULT. NOTICE HOW THE NELDER-MEAD
ALGORITHM IS STILL REPORTING GOOD RESULTS (NOT NEGATIVE BUT THE LOWEST IN THE TABLE) BY MAXING OUT ITS
FUNCTION EVALUATIONS. THE SIMULATED ANNEALING ALGORITHM DOES NOT CONVERGE TO THE BEST SOLUTION BUT
CAN BE USED TO GENERATE GOOD SEEDS NEAR THE REGION WHERE THE OPTIMUM POINT RESIDES.
Algorithm
Seed value (mm)
Nelder-Mead
[3.5 5.6 4.2]
Simulated Annealing (1st try)

Simulated Annealing (2nd try)
Nelder-Mead
[7 11.2 8.4]
Simulated Annealing (1st try)
Simulated Annealing (2nd try)
Found
solution
(mm) Relative to
seed
[0.2368
1.1248
0.8668]
[0.3401
0.8781
2.0473]
[0.5284
1.0444
1.3042]
[2.0137
1.9943
1.9928]
[1.4555
0.4623
2.4090]
[0.9258
0.8552
2.1638]
Page 9
Maximum error Function

value at solution
tions
0.0115
601
0.1593
100
0.1326
100
0.8610
601
0.3735
100
0.2072
100
evalua-

Appendix
Figures
Figure 1.
Plotted transition probability function. This describes how probable is to accept or reject a step given the energy difference between the current point and the proposed one ()
(a)
(b)
(c)
(d)
Figure 2. Different temperature profiles are used for this implementation of the Simulated Annealing algorithm. (a) shows a soft-transition
profile which is then used periodically in (c). (b) is a downwards ramp profile which is used periodically in (d).
Page 10

Appendix
(a)
Figure 3.
(b)
Evolution of the Simulated Annealing algorithm for the Bowl function starting from the point [1,1]. The steps
that were accepted are marked with a circle. Notice how they concentrate near the analytic minimum. In (a) the
algorithm runs evaluating 70 points in the objective function while in (b) it uses only 10. Notice that number is
the number of points in the temperature profile function being used.
(a)
(b)
Figure 4.
Evolution of the Simulated Annealing algorithm for the Bowl function starting from the point [20,60]. This
time, 70 temperature profile points were used to produce (a) and 30 for (b).
Figure 5.
Evolution of the Simulated Annealing algorithm within the noisy Bowl function surface starting at point [1,1].
Page 11

Appendix
(a)
(b)
(c)
Figure 6.
Evolution of the Simulated Annealing Algorithm applied to the function (3). All these scenarios are using a
sawtooth profile with different number of elements: (a) shows the case with 30 elements, (b) and (c) show the
behavior using 90 elements. Each element in the temperature profile translates to a function evaluation.
Page 12

Appendix
Figure 7.
Dimensional description of the RF filter used for Case 4: Low-pass filter on micro-strip technology and Case 5:
Noisy filter optimization.
(a)
Figure 8.
(b)
(a) shows the evolution of the maximum design error for the problem at Case 4: Low-pass filter on micro-strip
technology as the Simulated Annealing algorithm progresses through the temperature profile shown in (b).
Notice that (b) has 64 elements and therefore the function is evaluated 64 times and that the best error value
happens between the evaluations #20 and #30.
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