Weak convergence rates for stochastic approximation with application to multiple targets and simulated annealing

DOI10.1214/AOAP/1027961032zbMATH Open0965.62065OpenAlexW2029966711MaRDI QIDQ1296615FDOQ1296615

Authors: Mariane Pelletier 

Publication date: 31 July 2001

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

Full work available at URL: https://doi.org/10.1214/aoap/1027961032

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zbMATH Keywords

simulated annealingstochastic algorithms

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic approximation (62L20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (28)

• Generalized rescaled Pólya urn and its statistical application
• General multilevel adaptations for stochastic approximation algorithms of Robbins-Monro and Polyak-Ruppert type
• Weak Convergence Rates of Population Versus Single-Chain Stochastic Approximation MCMC Algorithms
• Asymptotic distribution and convergence rates of stochastic algorithms for entropic optimal transportation between probability measures
• Stochastic optimization with momentum: convergence, fluctuations, and traps avoidance
• On the Generalized Langevin Equation for Simulated Annealing
• On the almost sure asymptotic behaviour of stochastic algorithm
• Multi-level stochastic approximation algorithms
• Sur quelques algorithmes récursifs pour les probabilités numériques
• Convergence of a random algorithm for function optimization
• Networks of reinforced stochastic processes: asymptotics for the empirical means
• Convergence rates for annealing diffusion processes
• Convergence and dynamical behavior of the ADAM algorithm for nonconvex stochastic optimization
• Central limit theorems for stochastic approximation with controlled Markov chain dynamics
• On-line expectation-maximization algorithm for latent data models
• Weak convergence of dynamical systems in two timescales
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• A generalized Pólya urn and limit laws for the number of outputs in a family of random circuits
• Estimation of the shift parameter in regression models with unknown distribution of the observations
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• Central limit theorems for generalized Pólya urn models
• Asymptotics in random recursive circuits
• An almost sure central limit theorem for stochastic approximation algorithms
• Optimal survey schemes for stochastic gradient descent with applications to \(M\)-estimation
• How Fast Is the Bandit?
• Discrete-time simulated annealing: a convergence analysis via the Eyring-Kramers law
• Recursive estimation in a class of models of deformation
• Adaptive sampling for incremental optimization using stochastic gradient descent

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