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

DOI10.1016/J.SPA.2017.07.007MaRDI QIDQ1743335zbMATH OpenOpenAlexFDO

Authors Mathieu Gerber, Luke Bornn

Publication date 13 April 2018

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

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

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)

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.

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Cites work

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Cited in

(2)

• Convergence faible du recuit simulé généralisé à temps discret
• scientific article; zbMATH DE number 4074841 (Why is no real title available?)

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