Simulated annealing for Lévy-driven jump-diffusions

DOI10.1016/J.SPA.2007.07.012zbMath1215.60041OpenAlexW2065239851MaRDI QIDQ927927

Ilya Pavlyukevitch

Publication date: 10 June 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.07.012

zbMATH Keywords

simulated annealingmetastabilitylarge deviationsheavy tailjump-diffusionfirst exit timeextreme eventscooling ratenon-Gaussian stable Lévy process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Large deviations (60F10) Stable stochastic processes (60G52)

Related Items (5)

First passage time moments of asymmetric Lévy flights ⋮ Directed transport induced by spatially modulated Lévy flights ⋮ Lévy flights, non-local search and simulated annealing ⋮ First exit times for Lévy-driven diffusions with exponentially light jumps ⋮ Stochastic resonance with multiplicative heavy-tailed Lévy noise: Optimal tuning on an algebraic time scale

Cites Work

• Efficient simulated annealing on fractal energy landscapes
• Asymptotics of the spectral gap with applications to the theory of simulated annealing
• Large-time behavior of perturbed diffusion Markov processes with applications to the second eigenvalue problem for Fokker-Planck operators and simulated annealing
• Simulated annealing via Sobolev inequalities
• Singular perturbed Markov chains and exact behaviors of simulated annealing processes
• Simulated annealing: Practice versus theory
• Lévy flights, non-local search and simulated annealing
• First exit times of SDEs driven by stable Lévy processes
• Diffusion for Global Optimization in $\mathbb{R}^n $
• Asymptotic Probabilities of Large Deviations Due to Large Jumps of a Markov Process
• Preferential trapping on energy landscapes in regions containing deep-lying minima: The reason for the success of simulated annealing?
• Equation of State Calculations by Fast Computing Machines
• Lévy flights: transitions and meta-stability
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