Simulated annealing with a potential function with discontinuous gradient on R^d

DOI10.1007/BF02876705MaRDI QIDQ1609667zbMATH OpenOpenAlexFDO

Authors Gong Guanglu, Yong Liu, Minping Qian, Yong Liu

Publication date 15 August 2002

Published in Science in China. Series A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02876705

zbMATH Keywords

asymptotic behaviorcontinuous-time Lindley processhitting timeMarkov chainqueue length

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Queueing theory (aspects of probability theory) (60K25)

Review text

Consider the Lindley process \(L_t= S_t - \min_{0\leq s\leq t} S_s\) of a continuous-time Markov chain \(S_t\) on the integers, with jumps only to neighboring states (that is the birth-death process on the integers). Let \(\tau_N\) be the level hitting time of level \(N\in {\mathbb N}\). The joint distribution of \(S_{\tau_N}\) and \(\tau_N\) is derived, expressed by a recursion procedure. In the special case of the queue length process of an M/M/1 queue, this leads to results on the asymptotic behavior of \(\tau_N\) explicitly.

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Cited in

(1)

• FIRST-PASSAGE TIMES FOR SOME LINDLEY PROCESSES IN CONTINUOUS TIME

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