Simulated annealing type algorithms for multivariate optimization

DOI10.1007/BF01759052zbMath0733.90074OpenAlexW1980726309MaRDI QIDQ810383

Sanjoy K. Mitter, Saul B. Gelfand

Publication date: 1991

Published in: Algorithmica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01759052

zbMATH Keywords

stochastic approximationrandom searchgradient descentdiscrete-time continuous-state simulated annealing type algorithmsmultivariate optimization

Mathematics Subject Classification ID

Diffusion processes (60J60) Markov and semi-Markov decision processes (90C40) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

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Cites Work

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• Optimization by Simulated Annealing
• Global optimization and stochastic differential equations
• Laplace's method revisited: Weak convergence of probability measures
• Stochastic approximation methods for constrained and unconstrained systems
• Applications of a Kushner and Clark lemma to general classes of stochastic algorithms
• Diffusions for Global Optimization
• Diffusion for Global Optimization in $\mathbb{R}^n $
• Analysis of recursive stochastic algorithms
• Asymptotic Global Behavior for Stochastic Approximation and Diffusions with Slowly Decreasing Noise Effects: Global Minimization via Monte Carlo

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