Fast simulated annealing in \(\mathbb R^d\) with an application to maximum likelihood estimation in state-space models

DOI10.1016/j.spa.2008.09.007zbMath1163.60320OpenAlexW2077370047MaRDI QIDQ1019616

Tobias Rydén, Magnus Wiktorsson, Sylvain Rubenthaler

Publication date: 4 June 2009

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

Full work available at URL: https://doi.org/10.1016/j.spa.2008.09.007

zbMATH Keywords

maximum likelihood estimationsimulated annealingconvergence rate

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22)

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American Option Valuation with Particle Filters ⋮ Improving simulated annealing through derandomization ⋮ Convergence results for a class of time-varying simulated annealing algorithms

Cites Work

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• Piecewise constant triangular cooling schedules for generalized simulated annealing algorithms
• Convergence and first hitting time of simulated annealing algorithms for continuous global optimization
• A Moran particle system approximation of Feynman-Kac formulae
• On the Convergence and Applications of Generalized Simulated Annealing
• A simple approach to time-inhomogeneous dynamics and applications to (fast) simulated annealing

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