Simulated annealing type algorithms for multivariate optimization

Cover title.Includes bibliographical references.Supported by the Air Force Office of Scientific Research. AFOSR-85-0227Bby Saul B. Gelfand and Sanjoy K. Mitter

Particle algorithms for optimization on binary spaces

We discuss a unified approach to stochastic optimization of pseudo-Boolean objective functions based on particle methods, including the cross-entropy method and simulated annealing as special cases. We point out the need for auxiliary sampling distributions, that is parametric families on binary spaces, which are able to reproduce complex dependency structures, and illustrate their usefulness in our numerical experiments. We provide numerical evidence that particle-driven optimization algorithms based on parametric families yield superior results on strongly multi-modal optimization problems while local search heuristics outperform them on easier problems

Optimization of Trading Physics Models of Markets

We describe an end-to-end real-time S&P futures trading system. Inner-shell stochastic nonlinear dynamic models are developed, and Canonical Momenta Indicators (CMI) are derived from a fitted Lagrangian used by outer-shell trading models dependent on these indicators. Recursive and adaptive optimization using Adaptive Simulated Annealing (ASA) is used for fitting parameters shared across these shells of dynamic and trading models

Feature selection for microarray gene expression data using simulated annealing guided by the multivariate joint entropy

In this work a new way to calculate the multivariate joint entropy is presented. This measure is the basis for a fast information-theoretic based evaluation of gene relevance in a Microarray Gene Expression data context. Its low complexity is based on the reuse of previous computations to calculate current feature relevance. The mu-TAFS algorithm --named as such to differentiate it from previous TAFS algorithms-- implements a simulated annealing technique specially designed for feature subset selection. The algorithm is applied to the maximization of gene subset relevance in several public-domain microarray data sets. The experimental results show a notoriously high classification performance and low size subsets formed by biologically meaningful genes.Postprint (published version

Optimizing the location of weather monitoring stations using estimation uncertainty

In this article, we address the problem of planning a network of weather monitoring stations observing average air temperature (AAT). Assuming the network planning scenario as a location problem, an optimization model and an operative methodology are proposed. The model uses the geostatistical uncertainty of estimation and the indicator formalism to consider in the location process a variable demand surface, depending on the spatial arrangement of the stations. This surface is also used to express a spatial representativeness value for each element in the network. It is then possible to locate such a network using optimization techniques, such as the used methods of simulated annealing (SA) and construction heuristics. This new approach was applied in the optimization of the Portuguese network of weather stations monitoring the AAT variable. In this case study, scenarios of reduction in the number of stations were generated and analysed: the uncertainty of estimation was computed, interpreted and applied to model the varying demand surface that is used in the optimization process. Along with the determination of spatial representativeness value of individual stations, SA was used to detect redundancies on the existing network and establish the base for its expansion. Using a greedy algorithm, a new network for monitoring average temperature in the selected study area is proposed and its effectiveness is compared with the current distribution of stations. For this proposed network distribution maps of the uncertainty of estimation and the temperature distribution were created. Copyright (c) 2011 Royal Meteorological Societyinfo:eu-repo/semantics/publishedVersio