GNU Scientific Library -- Reference Manual - Simulated Annealing

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# Simulated Annealing

Stochastic search techniques are used when the structure of a space is not well understood or is not smooth, so that techniques like Newton's method (which requires calculating Jacobian derivative matrices) cannot be used. In particular, these techniques are frequently used to solve combinatorial optimization problems, such as the traveling salesman problem.

The goal is to find a point in the space at which a real valued energy function (or cost function) is minimized. Simulated annealing is a minimization technique which has given good results in avoiding local minima; it is based on the idea of taking a random walk through the space at successively lower temperatures, where the probability of taking a step is given by a Boltzmann distribution.

The functions described in this chapter are declared in the header file ``gsl_siman.h'`.

## Simulated Annealing algorithm

The simulated annealing algorithm takes random walks through the problem space, looking for points with low energies; in these random walks, the probability of taking a step is determined by the Boltzmann distribution,

    p = e^{-(E_{i+1} - E_i)/(kT)}

if E_{i+1} > E_i, and p = 1 when E_{i+1} <= E_i.

In other words, a step will occur if the new energy is lower. If the new energy is higher, the transition can still occur, and its likelihood is proportional to the temperature T and inversely proportional to the energy difference E_{i+1} - E_i.

The temperature T is initially set to a high value, and a random walk is carried out at that temperature. Then the temperature is lowered very slightly (according to a cooling schedule) and another random walk is taken.

This slight probability of taking a step that gives higher energy is what allows simulated annealing to frequently get out of local minima.

An initial guess is supplied. At each step, a point is chosen at a random distance from the current one, where the random distance r is distributed according to a Boltzmann distribution r = e^(-E/kT). After a few search steps using this distribution, the temperature T is lowered according to some scheme, for example T -> T/mu_T where \mu_T is slightly greater than 1.

## Simulated Annealing functions

Function: void gsl_siman_solve (const gsl_rng * r, void *x0_p, gsl_siman_Efunc_t Ef, gsl_siman_step_t take_step, gsl_siman_metric_t distance, gsl_siman_print_t print_position, gsl_siman_copy_t copyfunc, gsl_siman_copy_construct_t copy_constructor, gsl_siman_destroy_t destructor, size_t element_size, gsl_siman_params_t params)

  This function performs a simulated annealing search through a given space. The space is specified by providing the functions Ef and distance. The simulated annealing steps are generated using the random number generator r and the function take_step.

  The starting configuration of the system should be given by x0_p. The routine offers two modes for updating configurations, a fixed-size mode and a variable-size mode. In the fixed-size mode the configuration is stored as a single block of memory of size element_size. Copies of this configuration are created, copied and destroyed internally using the standard library functions `malloc`, `memcpy` and `free`. The function pointers copyfunc, copy_constructor and destructor should be null pointers in fixed-size mode. In the variable-size mode the functions copyfunc , copy_constructor and destructor are used to create, copy and destroy configurations internally. The variable element_size should be zero in the variable-size mode.

  The params structure (described below) controls the run by providing the temperature schedule and other tunable parameters to the algorithm.

  On exit the final result is placed in `*x0_p`. If the annealing process has been successful this should be a good approximation to the optimal point in the space.

  If the function pointer print_position is not null, a debugging log will be printed to `stdout` with the following columns:

      number_of_iterations temperature x x-(*x0_p) Ef(x)

  and the output of the function print_position itself. If print_position is null then no information is printed.

The simulated annealing routines require several user-specified functions to define the configuration space and energy function. The prototypes for these functions are given below.

Data Type: gsl_siman_Efunc_t
  This function type should return the energy of a configuration xp.

      double (*gsl_siman_Efunc_t) (void *xp)

Data Type: gsl_siman_step_t
  This function type should modify the configuration xp using a random step taken from the generator r, up to a maximium distance of step_size.

      void (*gsl_siman_step_t) (const gsl_rng *r, void *xp,
                                double step_size)

Data Type: gsl_siman_metric_t
  This function type should return the distance between two configurations xp and yp.

      double (*gsl_siman_metric_t) (void *xp, void *yp)

Data Type: gsl_siman_print_t
  This function type should print the contents of the configuration xp.

      void (*gsl_siman_print_t) (void *xp)

Data Type: gsl_siman_copy_t
  This function type should copy the configuration dest into source.

      void (*gsl_siman_copy_t) (void *source, void *dest)

Data Type: gsl_siman_copy_construct_t
  This function type should create a new copy of the configuration xp.

      void * (*gsl_siman_copy_construct_t) (void *xp)

Data Type: gsl_siman_destroy_t
  This function type should destroy the configuration xp, freeing its memory.

      void (*gsl_siman_destroy_t) (void *xp)

Data Type: gsl_siman_params_t
  These are the parameters that control a run of `gsl_siman_solve`. This structure contains all the information needed to control the search, beyond the energy function, the step function and the initial guess.
  `int n_tries`
    The number of points to try for each step
  `int iters_fixed_T`
    The number of iterations at each temperature
  `double step_size`
    The maximum step size in the random walk
  `double k, t_initial, mu_t, t_min`
    The parameters of the Boltzmann distribution and cooling schedule

## Examples with Simulated Annealing

The simulated Annealing package is clumsy, and it has to be because it is written in C, for C callers, and tries to be polymorphic at the same time. But here we provide some examples which can be pasted into your application with little change and should make things easier.

### Trivial example

The first example, in one dimensional cartesian space, sets up an energy function which is a damped sine wave; this has many local minima, but only one global minimum, somewhere between 1.0 and 1.5. The initial guess given is 15.5, which is several local minima away from the global minimum.

    #include <math.h>
    #include <stdlib.h>
    #include <gsl/gsl_siman.h>

    /* set up parameters for this simulated annealing run */

    /* how many points do we try before stepping */
    #define N_TRIES 200

    /* how many iterations for each T? */
    #define ITERS_FIXED_T 10

    /* max step size in random walk */
    #define STEP_SIZE 10

    /* Boltzmann constant */
    #define K 1.0

    /* initial temperature */
    #define T_INITIAL 0.002

    /* damping factor for temperature */
    #define MU_T 1.005
    #define T_MIN 2.0e-6

    gsl_siman_params_t params
      = {N_TRIES, ITERS_FIXED_T, STEP_SIZE,
         K, T_INITIAL, MU_T, T_MIN};

    /* now some functions to test in one dimension */
    double E1(void *xp)
    {
      double x = * ((double *) xp);

      return exp(-pow((x-1.0),2.0))*sin(8*x);
    }

    double M1(void *xp, void *yp)
    {
      double x = *((double *) xp);
      double y = *((double *) yp);

      return fabs(x - y);
    }

    void S1(const gsl_rng * r, void *xp, double step_size)
    {
      double old_x = *((double *) xp);
      double new_x;

      double u = gsl_rng_uniform(r);
      new_x = u * 2 * step_size - step_size + old_x;

      memcpy(xp, &new_x, sizeof(new_x));
    }

    void P1(void *xp)
    {
      printf("%12g", *((double *) xp));
    }

    int
    main(int argc, char *argv[])
    {
      gsl_rng_type * T;
      gsl_rng * r;

      double x_initial = 15.5;

      gsl_rng_env_setup();

      T = gsl_rng_default;
      r = gsl_rng_alloc(T);

      gsl_siman_solve(r, &x_initial, E1, S1, M1, P1,
                      NULL, NULL, NULL,
                      sizeof(double), params);
      return 0;
    }

Here are a couple of plots that are generated by running `siman_test` in the following way:

    ./siman_test | grep -v "^#"
      | xyplot -xyil -y -0.88 -0.83 -d "x...y"
      | xyps -d > siman-test.eps
    ./siman_test | grep -v "^#"
      | xyplot -xyil -xl "generation" -yl "energy" -d "x..y"
      | xyps -d > siman-energy.eps

### Traveling Salesman Problem

The TSP (Traveling Salesman Problem) is the classic combinatorial optimization problem. I have provided a very simple version of it, based on the coordinates of twelve cities in the southwestern United States. This should maybe be called the Flying Salesman Problem, since I am using the great-circle distance between cities, rather than the driving distance. Also: I assume the earth is a sphere, so I don't use geoid distances.

The `gsl_siman_solve()` routine finds a route which is 3490.62 Kilometers long; this is confirmed by an exhaustive search of all possible routes with the same initial city.

The full code can be found in ``siman/siman_tsp.c'`, but I include here some plots generated with in the following way:

    ./siman_tsp > tsp.output
    grep -v "^#" tsp.output
      | xyplot -xyil -d "x................y"
               -lx "generation" -ly "distance"
               -lt "TSP -- 12 southwest cities"
      | xyps -d > 12-cities.eps
    grep initial_city_coord tsp.output
      | awk '{print $2, $3, $4, $5}'
      | xyplot -xyil -lb0 -cs 0.8
               -lx "longitude (- means west)"
               -ly "latitude"
               -lt "TSP -- initial-order"
      | xyps -d > initial-route.eps
    grep final_city_coord tsp.output
      | awk '{print $2, $3, $4, $5}'
      | xyplot -xyil -lb0 -cs 0.8
               -lx "longitude (- means west)"
               -ly "latitude"
               -lt "TSP -- final-order"
      | xyps -d > final-route.eps

This is the output showing the initial order of the cities; longitude is negative, since it is west and I want the plot to look like a map.

    # initial coordinates of cities (longitude and latitude)
    ###initial_city_coord: -105.95 35.68 Santa Fe
    ###initial_city_coord: -112.07 33.54 Phoenix
    ###initial_city_coord: -106.62 35.12 Albuquerque
    ###initial_city_coord: -103.2 34.41 Clovis
    ###initial_city_coord: -107.87 37.29 Durango
    ###initial_city_coord: -96.77 32.79 Dallas
    ###initial_city_coord: -105.92 35.77 Tesuque
    ###initial_city_coord: -107.84 35.15 Grants
    ###initial_city_coord: -106.28 35.89 Los Alamos
    ###initial_city_coord: -106.76 32.34 Las Cruces
    ###initial_city_coord: -108.58 37.35 Cortez
    ###initial_city_coord: -108.74 35.52 Gallup
    ###initial_city_coord: -105.95 35.68 Santa Fe

The optimal route turns out to be:

    # final coordinates of cities (longitude and latitude)
    ###final_city_coord: -105.95 35.68 Santa Fe
    ###final_city_coord: -106.28 35.89 Los Alamos
    ###final_city_coord: -106.62 35.12 Albuquerque
    ###final_city_coord: -107.84 35.15 Grants
    ###final_city_coord: -107.87 37.29 Durango
    ###final_city_coord: -108.58 37.35 Cortez
    ###final_city_coord: -108.74 35.52 Gallup
    ###final_city_coord: -112.07 33.54 Phoenix
    ###final_city_coord: -106.76 32.34 Las Cruces
    ###final_city_coord: -96.77 32.79 Dallas
    ###final_city_coord: -103.2 34.41 Clovis
    ###final_city_coord: -105.92 35.77 Tesuque
    ###final_city_coord: -105.95 35.68 Santa Fe

Here's a plot of the cost function (energy) versus generation (point in the calculation at which a new temperature is set) for this problem:

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