Author(s)

A. Consiglio, A. Genco, A. Pecorella & G. Pecorella

Abstract

Parallel implementation of simulated annealing by distributed memory systems A. Consiglio", A. Genco\ A. Pecorella", G. Pecorella^ ^Istituto di Matematica per la Ricerca Operativa ** Dipartimento di Tecnologia e Produzione Meccanica ^Centra Universitario di Calcolo Universitd di Palermo - Italy ABSTRACT The aim of this paper is to provide a parallel strategy to be used when implementing the Simulated Annealing process by distributed memory systems. It focuses the attention on the portfolio selection problem with dynamic and integer constraints on the variables. However, this method can be extended to any dynamic optimisation problem as the optimal control. In the first part it develops the sequential algorithm of Simulated Annealing stressing some features inherent in the application itself: the structure of the neighbourhood of the solution, the starting value and the decreasing schedule of the control parameter. In the second part it deals with the formula

Keywords