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Simulated annealing process in general state space

Published online by Cambridge University Press:  01 July 2016

Heikki Haario  and
Eero Saksman
Heikki Haario
Affiliation:
University of Helsinki
Eero Saksman*
Affiliation:
University of Helsinki
*
∗Postal address for both authors: Department of Mathematics, University of Helsinki, Hallituskatu 15,00100 Helsinki, Finland.
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Abstract

The stochastic process corresponding to the simulated annealing optimization algorithm is generalized to the case of an arbitrary state space. Conditions for the strong and weak convergence of the process are established. In addition the relation between the size of the generating distributions and the possible rate of cooling is studied.

Keywords

GLOBAL OPTIMIZATIONNON-HOMOGENEOUS MARKOV PROCESSES

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 23 , Issue 4 , December 1991 , pp. 866 - 893
Copyright
Copyright © Applied Probability Trust 1991 

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Footnotes

The work of the second author was partially supported by the Academy of Finland.

References

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