A new heuristic approach for minimizing possibly nonlinear and non differentiable continuous space functions is presented. By means of an extensive testbed, which includes the De Jong functions, it will be demonstrated that the new method converges faster and with more certainty than Adaptive Simulated Annealing as well as the Annealed Nelder&Mead approach, both of which have a reputation for being very powerful. The new method requires few control variables, is robust, easy to use and lends itself very well to parallel computation. ________________________________________ 1) International Computer Science Institute, 1947 Center Street, Berkeley, CA 94704-1198, Suite 600, Fax: 510-643-7684. E-mail: storn@icsi.berkeley.edu. On leave from Siemens AG, ZFE T SN 2, OttoHahn -Ring 6, D-81739 Muenchen, Germany. Fax: 01149-636-44577, Email: rainer.storn@zfe.siemens.de. 2) 836 Owl Circle, Vacaville, CA 95687, kprice@solano.community.net. Introduction Problems which involve global optimiz...

Adaptive simulated annealing (ASA) is a global optimization algorithm based on an associated proof that the parameter space can be sampled much more efficiently than by using other previous simulated annealing algorithms. The author's ASA code has been publicly available for over two years. During this time the author has volunteered to help people via e-mail, and the feedback obtained has been used to further develop the code.

A paradigm of statistical mechanics of financial markets (SMFM) using nonlinear nonequilibrium algorithms, first published in L. Ingber, Mathematical Modelling, 5, 343-361 (1984), is fit to multivariate financial markets using Adaptive Simulated Annealing (ASA), a global optimization algorithm, to perform maximum likelihood fits of Lagrangians defined by path integrals of multivariate conditional probabilities. Canonical momenta are thereby derived and used as technical indicators in a recursive ASA optimization process to tune trading rules. These trading rules are then used on out-ofsample data, to demonstrate that they can profit from the SMFM model, to illustrate that these markets are likely not efficient.

AbstractÐMany distributed systems must be scalable, meaning that they must be economically deployable in a wide range of sizes and configurations. This paper presents a scalability metric based on cost-effectiveness, where the effectiveness is a function of the system's throughput and its quality of service. It is part of a framework which also includes a scaling strategy for introducing changes as a function of a scale factor, and an automated virtual design optimization at each scale factor. This is an adaptation of concepts for scalability measures in parallel computing. Scalability is measured by the range of scale factors that give a satisfactory value of the metric, and good scalability is a joint property of the initial design and the scaling strategy. The results give insight into the scaling capacity of the designs, and into how to improve the design. A rapid simple bound on the metric is also described. The metric is demonstrated in this work by applying it to some well-known idealized systems, and to real prototypes of communications software. Index TermsÐScalability, distributed systems, scalability metric, software performance, performance model, layered queuing, performance optimization, replication. 1

14. Statistical mechanics of multiple scales of neocortical interactions

Abstract 1 In this paper, we describe an architectural modification to Soar that gives a Soar agent the opportunity to learn statistical information about the past success of its actions and utilize this information when selecting an operator. The paper explains our implementation, gives a rationale for adding an RL capability to Soar, and shows results for Soar-RL agents’ performance on two tasks. We have also included an addendum discussing the connection between Soar-RL and Relational Reinforcement Learning.

INTRODUCTION In this paper we consider Simulated Annealing algorithms (SA in what follows) applied to continuous global optimization problems, i.e. problems with the following form f = min x2X f(x); (1.1) where X ` ! n is a continuous domain, often assumed to be compact, which, combined with the continuity or lower semicontinuity of f , guarantees the existence of the minimum value f . SA algorithms are based on an analogy with a physical phenomenon: while at high temperatures the molecules in a liquid move freely, if the temperature is slowly decreased the thermal mobility of the molecules is lost and they form a pure crystal which also corresponds to a state of minimum energy. If the temperature is decreased too quickly (the so called quenching) a liquid metal rather ends up in a polycrystalline or amorphous state with

Many signal processing applications pose optimization problems with multimodal and nonsmooth cost functions. Gradient methods are ineffective in these situations. The adaptive simulated annealing (ASA) offers a viable optimization tool for tackling these difficult nonlinear optimization problems. Three applications, maximum likelihood (ML) joint channel and data estimation, infinite-impulse-response (IIR) filter design and evaluation of minimum symbol-error-rate (MSER) decision feedback equalizer (DFE), are used to demonstrate the effectiveness of the ASA. Keywords. Simulated annealing, global optimization, blind equalization, IIR filter, decision feedback equalizer. 1 Introduction Optimization problems with multimodal and/or nonsmooth cost functions are commonly encountered in signal processing applications. Conventional gradient-based algorithms are ineffective in these applications due to the problem of local minima or the difficulty in calculating gradients. Optimization method...

Adaptive Simulated Annealing (ASA) is a C-language code developed to statistically find the best global fit of a nonlinear constrained non-convex cost-function over aD-dimensional space. This algorithm permits an annealing schedule for “temperature ” T decreasing exponentially in annealing-time k, T = T 0 exp(−ck 1/D). The introduction of re-annealing also permits adaptation to changing sensitivities in the multi-dimensional parameter-space. This annealing schedule is faster than fast Cauchy annealing, where T = T 0/k, and much faster than Boltzmann annealing, where T = T 0/lnk. ASA has over 100 OPTIONS to provide robust tuning over many classes of nonlinear stochastic systems.

The statistical mechanics of neocortical interactions (SMNI) approach derives a theoretical model for aggregated neuronal activity that defines the “dipole” assumed by many EEG researchers. This defines a nonlinear stochastic filter to extract EEG signals.