Convergence of simulated annealing using Foster-Lyapunov criteria

DOI10.1239/JAP/1011994186zbMath0999.60066OpenAlexW2140014834MaRDI QIDQ4537304

Arnaud Doucet, Laird Breyer, Christophe Andrieu

Publication date: 25 November 2002

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1011994186

zbMATH Keywords

ergodicityMetropolis algorithmdrift conditionMarkov chain Monte Carlo optimization

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Numerical analysis or methods applied to Markov chains (65C40)

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Procuring load curtailment from local customers under uncertainty ⋮ Improving simulated annealing through derandomization ⋮ On the convergence rate issues of general Markov search for global minimum ⋮ Non-marginal decisions: a novel Bayesian multiple testing procedure ⋮ Convergence results for a class of time-varying simulated annealing algorithms ⋮ Stability of sequential Monte Carlo samplers via the Foster-Lyapunov condition ⋮ Quantitative bounds on convergence of time-inhomogeneous Markov chains ⋮ Nonautonomous stochastic search for global minimum in continuous optimization ⋮ Convergence results for the (1,\(\lambda\))-SA-ES using the theory of \(\varphi\)-irreducible Markov chains ⋮ Global convergence of discrete-time inhomogeneous Markov processes from dynamical systems perspective ⋮ A global simulated annealing heuristic for the three-parameter lognormal maximum likelihood estimation ⋮ An information guided framework for simulated annealing

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