Annealing of iterative stochastic schemes

Annealing of general iterative stochastic schemes is studied by using Wentzell's large deviation theory. The convergence of this algorithm is shown under some conditions. The closed form of the critical constant is specified in terms of its potential function of the mean model.

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Bibliographische Detailangaben
Veröffentlicht in:	SIAM journal on control and optimization 1997-11, Vol.35 (6), p.1886-1907
Hauptverfasser:	FANG, H, GONG, G, QIAN, M
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Applied mathematics Applied sciences Codes Exact sciences and technology Operational research and scientific management Operational research. Management science Optimization. Search problems Random variables
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Beschreibung
Zusammenfassung:	Annealing of general iterative stochastic schemes is studied by using Wentzell's large deviation theory. The convergence of this algorithm is shown under some conditions. The closed form of the critical constant is specified in terms of its potential function of the mean model.
ISSN:	0363-0129 1095-7138
DOI:	10.1137/S0363012995293670