PROBABILISTIC SEARCH WITH OVERRIDES

被引:23
作者
Fox, Bennett L. [1 ]
Heine, George W. [1 ]
机构
[1] Univ Colorado, Dept Math, Denver, CO 80217 USA
关键词
Simulated annealing; optimization; loop-skipping; coupling; noisy objective function;
D O I
10.1214/aoap/1177004607
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Consider a time-inhomogeneous Markov chain which converges in probability to a subset S-0 of its state space. Override the standard move mechanism up to a random transition time, almost surely finite, but not necessarily a stopping time. Under weak conditions, the modified process converges in probability to the same set S-0. Two examples of independent interest illustrate this result.
引用
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页码:1087 / 1094
页数:8
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