Weak convergence of Markov chain sampling methods and annealing algorithms to diffusions

DOI10.1007/BF00940066zbMath0696.60064OpenAlexW1993623764MaRDI QIDQ910820

Sanjoy K. Mitter, Saul B. Gelfand

Publication date: 1991

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00940066

zbMATH Keywords

global optimizationLangevin-type Markov diffusion algorithmssimulated annealing algorithms

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60)

Related Items (4)

Metaheuristics: A bibliography ⋮ On the Generalized Langevin Equation for Simulated Annealing ⋮ Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities ⋮ Scaling analysis of delayed rejection MCMC methods

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• Simulated Annealing – An Annotated Bibliography
• Computational Experience with Generalized Simulated Annealing Over Continuous Variables

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