Abstract
The paper presents a general-purpose algorithm for solving stochastic combinatorial optimization problems with the expected value of a random variable as objective and deterministic constraints. The algorithm follows the Ant Colony Optimization (ACO) approach and uses Monte-Carlo sampling for estimating the objective. It is shown that on rather mild conditions, including that of linear increment of the sample size, the algorithm converges with probability one to the globally optimal solution of the stochastic combinatorial optimization problem. Contrary to most convergence results for metaheuristics in the deterministic case, the algorithm can usually be recommended for practical application in an unchanged form, i.e., with the ”theoretical” parameter schedule.
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Gutjahr, W.J. (2003). A Converging ACO Algorithm for Stochastic Combinatorial Optimization. In: Albrecht, A., Steinhöfel, K. (eds) Stochastic Algorithms: Foundations and Applications. SAGA 2003. Lecture Notes in Computer Science, vol 2827. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-39816-5_2
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DOI: https://doi.org/10.1007/978-3-540-39816-5_2
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-20103-8
Online ISBN: 978-3-540-39816-5
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