Learning Complexity of Simulated Annealing
This work addresses a key bottleneck in optimizing simulated annealing for practitioners in optimization and machine learning, though it is incremental as it builds on existing cooling schedule methods.
The paper tackles the problem of designing optimal cooling schedules for simulated annealing to minimize runtime or maximize success rate on average for a class of optimization problems, showing that approximately optimal schedules can be learned with sample complexity of $ ilde O(\sqrt{m})$ and a lower bound of $ ilde Ω(m^{1/3})$, and providing polynomial-time algorithms for simulation complexity under additional assumptions.
Simulated annealing is an effective and general means of optimization. It is in fact inspired by metallurgy, where the temperature of a material determines its behavior in thermodynamics. Likewise, in simulated annealing, the actions that the algorithm takes depend entirely on the value of a variable which captures the notion of temperature. Typically, simulated annealing starts with a high temperature, which makes the algorithm pretty unpredictable, and gradually cools the temperature down to become more stable. A key component that plays a crucial role in the performance of simulated annealing is the criteria under which the temperature changes namely, the cooling schedule. Motivated by this, we study the following question in this work: "Given enough samples to the instances of a specific class of optimization problems, can we design optimal (or approximately optimal) cooling schedules that minimize the runtime or maximize the success rate of the algorithm on average when the underlying problem is drawn uniformly at random from the same class?" We provide positive results both in terms of sample complexity and simulation complexity. For sample complexity, we show that $\tilde O(\sqrt{m})$ samples suffice to find an approximately optimal cooling schedule of length $m$. We complement this result by giving a lower bound of $\tilde Ω(m^{1/3})$ on the sample complexity of any learning algorithm that provides an almost optimal cooling schedule. These results are general and rely on no assumption. For simulation complexity, however, we make additional assumptions to measure the success rate of an algorithm. To this end, we introduce the monotone stationary graph that models the performance of simulated annealing. Based on this model, we present polynomial time algorithms with provable guarantees for the learning problem.