1999
DOI: 10.1103/physreve.60.2388
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Monte Carlo dynamics in global optimization

Abstract: Several very different optimization problems are studied by using the fixed-temperature Monte Carlo dynamics and found to share many common features. The most surprising result is that the cost function of these optimization problems itself is a very good stochastic variable to describe the complicated Monte Carlo processes. A multidimensional problem can therefore be mapped into a one-dimensional diffusion problem. This problem is either solved by direct numerical simulation or by using the Fokker-Planck equa… Show more

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Cited by 5 publications
(3 citation statements)
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“…The last ingredient that we include in this algorithm is from an observation in a recent work [11]. It was [11] observed that the average first passage time to reach the global optimum of an optimization problem in Monte Carlo simulation was a U-shape temperature dependent curve. At the optimal temperature, the avereage first passage time to find the global optimal will be the shortest.…”
mentioning
confidence: 99%
“…The last ingredient that we include in this algorithm is from an observation in a recent work [11]. It was [11] observed that the average first passage time to reach the global optimum of an optimization problem in Monte Carlo simulation was a U-shape temperature dependent curve. At the optimal temperature, the avereage first passage time to find the global optimal will be the shortest.…”
mentioning
confidence: 99%
“…(12). This is the reason why the distributions of first passage times for rather general global optimization problems with quadratic cost functions [44] is the same as the form of the distribution of energy states which we find from our simulations.…”
Section: Universality Of the Energy Historgrams And The Ornstein-umentioning
confidence: 49%
“…(See Ref. [3], Table Ia,b for the values of the fitting parameters) It should be mentioned that the same energy distributions may be fit equally well (or better near the point E 0 and in the far tail) by the "inverse Gaussian" [44], where the probability density is given by,…”
Section: B Distribution Of Energy Statesmentioning
confidence: 99%