An adaptive simulated annealing algorithm.

DOI10.1016/S0304-4149(01)00082-5MaRDI QIDQ1888770zbMATH OpenOpenAlexFDO

Authors Gong Guanglu, Yong Liu, Minping Qian

Publication date 26 November 2004

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4149(01)00082-5

zbMATH Keywords

adaptive algorithmMarkov chainsimulated annealing

Mathematics Subject Classification ID

Stochastic processes (60G99) Monte Carlo methods (65C05)

Review text

Inspired by the idea of the Metropolis algorithm, the authors propose a new sample adaptive simulated annealing algorithm on finite state space. The algorithm can be considered as a substitute of the annealing of iterative stochastic schemes in case of finite state space and can be hopefully extended to the denumerable state case with some modifications. The convergence of the algorithm is proved.

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Cites work

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Cited in

(6)

• Fast simulated annealing in R^d with an application to maximum likelihood estimation in state-space models
• Automatic histogram and variogram reproduction in simulated annealing simulation
• Oscillation of metropolis-Hastings and simulated annealing algorithms around LASSO estimator
• Proposal adaptation in simulated annealing for continuous optimization problems
• A new simulated annealing algorithm with the model of virus evolution
• Improved Metropolis-Hastings algorithms via landscape modifcation with applications to simulated annealing and the Curie-Weiss model

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