Convergence of Simulated Annealing Using Kinetic Langevin Dynamics

MaRDI QIDQ6401917zbMATH OpenFDO

Authors Xue Dong He, Xiaolu Tan, Ruocheng Wu

Publication date 13 June 2022

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60)

Abstract: We study the simulated annealing algorithm based on the kinetic Langevin dynamics, in order to find the global minimum of a non-convex potential function. For both the continuous time formulation and a discrete time analogue, we obtain the convergence rate results under technical conditions on the potential function, together with an appropriate choice of the cooling schedule and the time discretization parameters.

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