Convergence of simulated annealing using Foster-Lyapunov criteria

C Andrieu, LA Breyer, A Doucet

Research output: Contribution to journalArticle (Academic Journal)peer-review

20 Citations (Scopus)

Abstract

Simulated annealing is a popular and much studied method for maximizing functions on finite or compact spaces. For noncompact state spaces, the method is still sound, but convergence results are scarce, We show here how to prove convergence in such cases, for Markov chains satisfying suitable drift and minorization conditions.
Translated title of the contributionConvergence of simulated annealing using Foster-Lyapunov criteria
Original languageEnglish
Pages (from-to)975 - 994
Number of pages20
JournalJournal of Applied Probability
Volume38 (4)
DOIs
Publication statusPublished - Dec 2001

Bibliographical note

Publisher: Applied Probability Trust

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