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Jeffery L. Thomas, Edinboro University of PA Faculty Advisor: Dr. John Hoggard

Stochastic Optimization

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In an optimization problem, we are attempting to maximize or minimize some variable (such as profit, time, etc.)

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Stochastic optimization refers to any optimization technique which incorporates probabilistic elements. The random element may be a part of the problem itself ` Ex: valuation of financial derivatives The random element may be a part of the solution ` Ex: random search

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Process is usually applied repeatedly, and the aggregate results are studied.

**The Traveling Salesman
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Given a set of cities and their pair-wise distances, determine the shortest possible tour which visits each city exactly once and ends at the starting city.

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**The traveling salesman has many applications, including:
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Logistics Planning Circuit design

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In modified forms it is even used to study such broad topics as DNA sequencing. TSP is often used as a benchmark for testing optimization methods.

**The Traveling Salesman
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TSP is in the complexity class NP-Hard. Not only is there no efficient algorithm for finding a solution, a candidate solution cannot even be checked in polynomial time. Given n cities, the number of possible tours through them is:

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Starting with the first city, we have choices for the second city, choices for the third city, and so on.

**The Traveling Salesman
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Multiplying these together, we get:

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And since our travel time does not depend on which direction we take our tour, we divide this total by two, yielding For 100 cities, there are:

466631077219720763408496194281333502453579841321908107342 9648194760879999661495780447073198807825914312684896041 36118791255926054584320000000000000000000000 possible tours. (156 digits!)

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The Traveling Salesman

An optimal TSP tour through Germany·s 15 largest cities. It represents the shortest of the 43,589,145,600 possible tours.

**The Traveling Salesman
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TSP can be modeled as a graph, which makes it easier to work with computationally. The cities are represented by the graph·s vertices. The roads, or paths, between the cities are represented by the graph·s edges. The distances between cities are represented by the weights of the edges. When modeled as a graph, a TSP tour becomes a Hamiltonian cycle, and the optimal TSP tour becomes the shortest Hamiltonian cycle of the graph. The model should be a complete graph, with edges connecting each vertex.

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**The Traveling Salesman
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A

14 32 28 29

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C

27 22

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31 20

D

E

7

A symmetric TSP with 5 cities

Solving TSP

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Solving TSP becomes impractical very quickly as the number of cities grows. We can apply some sort of stochastic process to TSP in order to achieve convergence to a nearly-optimal solution in a much more reasonable amount of time. The tour found may not be the exact optimal tour, however it will be within a reasonable amount of the exact optimal tour (definition of reasonable will vary by method, problem, etc.)

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**Ant Colony Optimization
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A stochastic optimization method which has been adapted to solve the TSP is Ant Colony Optimization. Originally proposed in 1992 by Marco Dorigo to find an optimal path in a graph, it is based on the behavior of ants seeking a path between a food source and their colony. The following basic behaviors make up the basis for the algorithm:

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**An ant will wander randomly until a food source is found.
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Once a food source is found, the ant will return directly to the colony, laying down a pheromone trail as it goes.

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If an ant encounters a pheromone trail, it is more likely to follow that trail than to continue wandering randomly. The pheromone trail will evaporate over time if not reinforced.

**Ant Colony Optimization
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Based on these behaviors, the ants will converge to the shortest path between the colony and the food source.

-If more than one path exists, the shorter path will be traveled by a larger number of ants in the same amount of time -The pheromone trail on the shorter path will then become stronger than the longer path, making it more probable to be followed. -Eventually the pheromone trail on the longer path will dissipate, and the shortest path will be taken by all ants.

Image by Johann Dréo

Adaptation to TSP

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In order to devise an adaptation of ant colony optimization to solve a TSP, we give our artificial ants a few properties in addition to the ones already discussed:

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An ant has a memory, and will only visit a city it has not yet visited. An ant can ´seeµ the distance of a path, and is more likely to travel to a city which is a shorter distance from the city it is currently in.

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N ants are distributed randomly, and move from city to city on a TSP graph.

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At each time step, an artificial ant chooses a city to move to based on a probabilistic function of both the pheromone accumulated on an edge and the distance of that edge.

Adaptation to TSP

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**The pheromone trails are updated both locally and globally:
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After each move from city to city, the trail on that edge is updated (local updating), preventing a particularly short path from being chosen by all of the ants.

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Once all ants have completed their tours, the ant which had the shortest tour adds pheromone to all edges of its tour (global updating). ` After each iteration the pheromone trails dissipate at a predetermined rate. This process is repeated until the artificial ants converge to a nearly-optimal tour.

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**Advantages of Ant Colony Optimization
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Ant colony optimization has a distinct advantage over other stochastic methods of solving similar problems, such as genetic algorithms and simulated annealing: when run continuously, it can react to changes in real-time. If an obstacle is placed in the current path being traveled by the colony, the basic principles take effect: the ants go back to taking random walks around the obstacle. In the simple case, half of the ants will take the shorter path around the obstacle, and the other half will take the longer path.

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Advantages of Ant Colony Optimization

**Other Applications of Ant Colony Optimization
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Ant colony optimization has many other areas of application: ` Job scheduling ` Knapsack problem ` Network routing ` Data mining ` Image processing ` And many more«

The key to adapting ant colony optimization to a new problem is in defining an appropriate heuristic which defines the distance between two nodes in the graph to be searched by the artificial ants.

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References

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M. Dorigo, L. Gambardella, Ant colonies for the traveling salesman problem, 1996 E. Bonabeau, M. Dorigo, Swarm Intelligence: From Natural to Artificial Systems, 1999 ´The Traveling Salesman Problemµ, http://www.tsp.gatech.edu/ Sauer, Timothy Numerical Analysis, Addison Weseley, 2005

Questions?

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Thank you for your time.

In deterministic optimization, we are trying to find a maximal or minimal value of some variable. In some cases, such as the NP-Hard or NP-Complete problems, this process can be too complex to fini...

In deterministic optimization, we are trying to find a maximal or minimal value of some variable. In some cases, such as the NP-Hard or NP-Complete problems, this process can be too complex to finish in a feasible amount of time. Stochastic optimization gives us a way to add a random element to these problems in order to produce a “nearly optimal” solution in a much quicker fashion. We will discuss some overall methods of stochastic optimization, and in particular the method of ant colony optimization and its application to the traveling salesman problem.

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