Global optimization using diffusion perturbations with large noise intensity
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The authors determine an algorithm for global optimization of gradient ascent type and use random perturbations. It shows by properly varying the noise intensity, approximations of the global maximum can be achieved. It builds algorithms in discrete-time, recursive algorithms with occasional perturbations involving large noise intensity.
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Cites work
- Asymptotic Global Behavior for Stochastic Approximation and Diffusions with Slowly Decreasing Noise Effects: Global Minimization via Monte Carlo
- Diffusion for Global Optimization in $\mathbb{R}^n $
- Diffusions for Global Optimization
- Elliptic Partial Differential Equations of Second Order
- scientific article; zbMATH DE number 3878095 (Why is no real title available?)
- scientific article; zbMATH DE number 3951715 (Why is no real title available?)
- scientific article; zbMATH DE number 1043533 (Why is no real title available?)
- scientific article; zbMATH DE number 3215021 (Why is no real title available?)
- Limit behavior of two-time-scale diffusions revisited
- On Averaging Principles: An Asymptotic Expansion Approach
- On Transition Densities of Singularly Perturbed Diffusions with Fast and Slow Components
- Rates of Convergence for a Class of Global Stochastic Optimization Algorithms
- Recursive Stochastic Algorithms for Global Optimization in $\mathbb{R}^d $
- Stability of regime-switching stochastic differential equations
Cited in
(5)- Approximate Gaussian distributions in optimization by random perturbation methods
- Global optimization by random perturbation of the gradient method with a fixed parameter
- Global optimization with orthogonality constraints via stochastic diffusion on manifold
- Interactive diffusions for global optimization
- Handling expensive optimization with large noise
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