Convergence results for a class of time-varying simulated annealing algorithms

DOI10.1016/J.SPA.2017.07.007zbMATH Open1397.65088arXiv1511.07304OpenAlexW2964270921MaRDI QIDQ1743335FDOQ1743335

Authors: Mathieu Gerber, Luke Bornn 

Publication date: 13 April 2018

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

Abstract: We provide a set of conditions which ensure the almost sure convergence of a class of simulated annealing algorithms on a bounded set $mathcalXsubsetmathbb{R}^d$ based on a time-varying Markov kernel. The class of algorithms considered in this work encompasses the one studied in Belisle (1992) and Yang (2000) as well as its derandomized version recently proposed by Gerber and Bornn (2016). To the best of our knowledge, the results we derive are the first examples of almost sure convergence results for simulated annealing based on a time-varying kernel. In addition, the assumptions on the Markov kernel and on the cooling schedule have the advantage of being trivial to verify in practice.

Full work available at URL: https://arxiv.org/abs/1511.07304

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zbMATH Keywords

simulated annealingglobal optimizationdigital sequences

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical mathematical programming methods (65K05) Nonconvex programming, global optimization (90C26)

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Cited In (2)

• Convergence faible du recuit simulé généralisé à temps discret
• Title not available (Why is that?)

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