State-Dependent Temperature Control for Langevin Diffusions
From MaRDI portal
Publication:5080490
Abstract: We study the temperature control problem for Langevin diffusions in the context of non-convex optimization. The classical optimal control of such a problem is of the bang-bang type, which is overly sensitive to errors. A remedy is to allow the diffusions to explore other temperature values and hence smooth out the bang-bang control. We accomplish this by a stochastic relaxed control formulation incorporating randomization of the temperature control and regularizing its entropy. We derive a state-dependent, truncated exponential distribution, which can be used to sample temperatures in a Langevin algorithm, in terms of the solution to an HJB partial differential equation. We carry out a numerical experiment on a one-dimensional baseline example, in which the HJB equation can be easily solved, to compare the performance of the algorithm with three other available algorithms in search of a global optimum.
Recommendations
- scientific article; zbMATH DE number 802649
- Langevin thermostat for robust configurational and kinetic sampling
- Control of Quantum Langevin Equations
- Stochastic control and nonequilibrium thermodynamical systems
- Stochastic Control and Nonequilibrium Thermodynamics: Fundamental Limits
- scientific article; zbMATH DE number 4203882
- Dissipation and control in microscopic nonequilibrium systems
- Controlled diffusions in a random medium
- scientific article; zbMATH DE number 1071411
- On the use of stochastic differential geometry for non-equilibrium thermodynamic modeling and control
Cites work
- scientific article; zbMATH DE number 3720745 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 7307478 (Why is no real title available?)
- An improved annealing method and its large-time behavior
- Asymptotics of the spectral gap with applications to the theory of simulated annealing
- Convergence rates for annealing diffusion processes
- Diffusion for Global Optimization in $\mathbb{R}^n $
- Diffusion processes with continuous coefficients, I
- Diffusions for Global Optimization
- Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- Metastability in reversible diffusion processes. I: Sharp asymptotics for capacities and exit times
- Metastability in reversible diffusion processes. II: Precise asymptotics for small eigenvalues
- New smoothing techniques for solving bang–bang optimal control problems—numerical results and statistical interpretation
- On stationary-point hitting time and ergodicity of stochastic gradient Langevin dynamics
- Optimization by simulated annealing
- Recursive Stochastic Algorithms for Global Optimization in $\mathbb{R}^d $
- Reinforcement learning. An introduction
- Smooth Regularization of Bang-Bang Optimal Control Problems
- Solving high-dimensional partial differential equations using deep learning
- Weight-preserving simulated tempering
Cited in
(9)- Numerical analysis of an extended mean field game for harvesting common fishery resource
- Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation
- Exploratory Control with Tsallis Entropy for Latent Factor Models
- Regular and exploratory resource extraction models considering sustainability
- Choquet Regularization for Continuous-Time Reinforcement Learning
- Tail probability estimates of continuous-time simulated annealing processes
- Convergence of simulated annealing using kinetic Langevin dynamics
- Stochastic gradient descent and fast relaxation to thermodynamic equilibrium: a stochastic control approach
- Exploratory HJB equations and their convergence
This page was built for publication: State-Dependent Temperature Control for Langevin Diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5080490)
