Simulated Annealing Heuristic Pattern Search (SAHPS) Method

In this method, we present a new approach of hybrid simulated annealing method for minimizing multi-model. Two subsidiary methods are proposed to achieve the final form of the global search method SAHPS. First, we introduce the approximate descent direction (ADD) method, which is a derivative-free procedure with high ability of producing a descent direction. Then, the ADD method is combined with a pattern search method with direction pruning to construct the heuristic pattern search (HPS)  method. The last method is hybridized with simulated annealing to obtain the SAHPS method.

Source Reference: A. Hedar and M. Fukushima, Heuristic pattern search and its hybridization with simulated annealing for nonlinear global optimization, Optimization Methods and Software, 19 (2004) 291-308. [pdf]

Source Codes: MATLAB codes for SAHPS are downloadable here SAHPS_ver_0.1.