Original paper
Optimal Sampling for Simulated Annealing Under Noise
Abstract
This paper proposes a simulated annealing variant for optimization problems in which the solution quality can only be estimated by sampling from a random distribution. The aim is to find the solution with the best expected performance, as, e.g., is typical for problems where solutions are evaluated using a stochastic simulation. Assuming Gaussian noise with known standard deviation, we derive a fully sequential sampling procedure and decision...
Paper Details
Title
Optimal Sampling for Simulated Annealing Under Noise
Published Date
Jan 1, 2018
Journal
Volume
30
Issue
1
Pages
200 - 215
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Notes
History