On the simulated annealing in \(\mathbb{R}^d\) (Q2066030)

Let \(U:\mathbb{R}^d\to\mathbb{R}_+\) be a smooth potential with minimum \(0\) and \(\lim_{\|x\|\to\infty} U(x)=\infty\) such that the maximal potential energy \(c_*\) to reach a global minimum from anywhere else is finite. The authors prove that under this quite natural condition all diffusions on \(\mathbb{R}^d\) solving \[ dX_t=dB_t-\frac{\ln(r+t)}{2c}\cdot\nabla U(X_t)dt \] satisfy \(\lim_{t\to\infty} U(X_t)=0\) in probability for all \(r>1\) and \(c>c_*\). The assumptions of this result on simulated annealing are much weaker than those in the precedings papers of Royer, Miclo, and Zitt. Moreover, the condition \(c>c_*\) is necessary. The proof is based on some localization procedures and results of Holley, Kusuoka, and Stroock, who study such problems on compact maifolds. Moreover, the authors use and prove some non-explosivity criterion for time-inhomogeneous diffusions.