Simulated annealing: An initial application in econometrics

Goffe, William L.; Ferrier, Gary D.; Rogers, J.D.

doi:10.1007/bf00436486

Cited by 20 publications

(16 citation statements)

References 14 publications

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“…The standard simulated annealing heuristic is a widely used algorithm in this context (see Goffe et al 1992Goffe et al , 1994. Dorsey and Mayer (1995) have also proposed genetic algorithms.…”

Section: Motivation and Literature Reviewmentioning

confidence: 99%

A Heuristic for Nonlinear Global Optimization

Bierlaire

Thémans

Zufferey

2010

INFORMS Journal on Computing

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W e propose a new heuristic for nonlinear global optimization combining a variable neighborhood search framework with a modified trust-region algorithm as local search. The proposed method presents the capability to prematurely interrupt the local search if the iterates are converging to a local minimum that has already been visited or if they are reaching an area where no significant improvement can be expected. The neighborhoods, as well as the neighbors selection procedure, are exploiting the curvature of the objective function. Numerical tests are performed on a set of unconstrained nonlinear problems from the literature. Results illustrate that the new method significantly outperforms existing heuristics from the literature in terms of success rate, CPU time, and number of function evaluations.

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Section: Motivation and Literature Reviewmentioning

confidence: 99%

A Heuristic for Nonlinear Global Optimization

Bierlaire

Thémans

Zufferey

2010

INFORMS Journal on Computing

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“…We use two different algorithms: a routine that we developed that combines the simplex method with random jumps and the method of simulated annealing by Goffe et al (1992).…”

Section: A2 Details On the Numerical Computationmentioning

confidence: 99%

Why Do Incumbent Senators Win? Evidence from a Dynamic Selection Model

Gowrisankaran¹,

Mitchell²,

Moro³

2004

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Since 1914, incumbent U.S. senators running for reelection have won almost 80% of the time. We investigate why incumbents win so often. We allow for three potential explanations for the incumbency advantage: selection, tenure, and challenger quality, which are separately identified using histories of election outcomes following an open seat election. We specify a dynamic model of voter behavior that allows for these three effects, and structurally estimate the parameters of the model using U.S. Senate data. We find that tenure effects are negative or small. We also find that incumbents face weaker challengers than candidates running for open seats. If incumbents faced challengers as strong as candidates for open seats, the incumbency advantage would be cut in half.

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“…Comparing these results with Goffe et al (1992) shows that interval methods are competitive. Goffe et al replicate their experiment 100 times using starting points for the parameters in the range (-100, 100) and find the average execution time of approximately 16 seconds for the global optimization problem when executed on a Cray X-MP/24 supercomputer.…”

Section: Comparison With Other Methodsmentioning

confidence: 75%

“…The interval Newton method will not improve the results, however; it just makes the procedure more efficient. Goffe et al (1992) applied the method of simulated annealing to a econometric function from Judge et al (1982, pp. 965-7).…”

Section: -F < Lb(f(x)) a Global Minimum Cannot Exist In Xmentioning

confidence: 99%