A derivative-free variant called DFSA of Dekkers and Aarts’ continuous simulated annealing algorithm

We propose a derivative-free implementation of Dekkers and Aarts’ continuous simulated annealing (SA). Essential in DFSA is the ’random direction’ local technique that we introduce. We study the convergence properties of the resulting algorithm and test its performance on a set of 50 problems. Numerical results are presented which show the robustness of the algorithm. Numerical comparisons with SA, two derivative-free simulated annealing algorithms and three population-based global optimization algorithms show that the derivative-free SA, DFSA, offers a reasonable alternative to some recent global optimization algorithms, especially for problems requiring a ‘direct search’ type algorithm.