[SciPy-user] Simulated annealing in scipy
joris at ster.kuleuven.ac.be
joris at ster.kuleuven.ac.be
Fri Jul 22 17:35:42 EDT 2005
Hi,
An interesting alternative to GAs or SA for global optimization is the
so-called Neighbourhood-algorithm:
http://wwwrses.anu.edu.au/~malcolm/na/na.html
Features of this algorithm are:
- suitable for a multidimensional parameter space
- derivative free
- it only uses the rank of the function to be optimized
(that is, no need to rescale your function to make it work)
- only 2 control parameters
- a theoretical framework to derive estimates of your model parameters,
the covariance matrix, and even Bayesian posteriori PDFs, has been
developed and implemented
- well-documented
- Fortran code is freely available upon request
I've used this algorithm in the past, with success.
Cheers,
Joris
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