Recursive Stochastic Algorithms for Global Optimization in \mathbb{R}^d

DOI10.1137/0329055zbMATH Open0753.65051OpenAlexW2118439011MaRDI QIDQ3978271FDOQ3978271

Authors: Saul B. Gelfand, Sanjoy K. Mitter 

Publication date: 25 June 1992

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0329055

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zbMATH Keywords

simulated annealingglobal optimizationWiener processglobal minimumdiffusion processconvergence in probabilitydiffusionsstochastic gradient algorithmsGaussian noiserandom optimization

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Diffusion processes (60J60) Combinatorial optimization (90C27) Nonlinear programming (90C30)

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• An adaptive simulated annealing algorithm.
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• Stochastic gradient Hamiltonian Monte Carlo for non-convex learning
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• A proof of convergence of general stochastic search for global minimum
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• APPROACHES TO ADAPTIVE STOCHASTIC SEARCH BASED ON THE NONEXTENSIVE q-DISTRIBUTION
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