Convergence of simulated annealing using Foster-Lyapunov criteria
- 1 December 2001
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 38 (4) , 975-994
- https://doi.org/10.1239/jap/1011994186
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.Keywords
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