• 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