DocumentCode
3091504
Title
Simulated annealing and balance of recurrence order in time-inhomogeneous Markov chains
Author
Connors, D.P. ; Kumar, P. Roshan
Author_Institution
University of Illinois, Urbana, Illinois, USA
Volume
26
fYear
1987
fDate
9-11 Dec. 1987
Firstpage
2261
Lastpage
2263
Abstract
We consider Markov chains with transition probabilities proportional to powers of a small time-varying parameter. For such processes we introduce the notion of order of recurrence for the states and transitions and show that these orders satisfy a balance equation across every edge cutset in the graph of the Markov chain. As a special case, we consider the method of optimization by simulated annealing and show that there holds a "detailed balance" across every edge in the graph. This allows us to determine the necessary and sufficient condition on the cooling schedule in order to guarantee that the global minimum is hit with probability one.
Keywords
Algorithm design and analysis; Analytical models; Contracts; Convergence; Cooling; Cost function; Difference equations; Optimization methods; Probability distribution; Simulated annealing;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1987. 26th IEEE Conference on
Conference_Location
Los Angeles, California, USA
Type
conf
DOI
10.1109/CDC.1987.272944
Filename
4049709
Link To Document