On the problem of exit from cycles for simulated annealing processes. A backward equation approach
type: Item
instance of: scholarly article
title: On the problem of exit from cycles for simulated annealing processes. A backward equation approach
zbMATH Open document ID: 0937.60067
author: Tzuu-Shuh Chiang
author: Yunshyong Chow
published in: The Annals of Applied Probability
publication date: 2000-06-07T00:00:00Z
review text: Let \(X_t\) be a (time-)inhomogeneous Markov chain on a finite set \(S\) with transition rates \(q_{ij}(t)=p_{ij}\exp\{-U(i,j)T^{-1}(t)\}\) if \(j\neq i\), where \(P=(p_{ij})\) is an irreducible neighborhood choosing matrix with nonnegative entries, \(U(i,j)\) is an arbitrary function from \(S\times S\) to \([O,\infty)\) and \(T(t)>0\) is a suitable temperature function converging to 0. The paper studies the exit distribution \(P_{t,i}(X_\tau=a)\) and the mean exit time \(E_{t,i}\tau\) as \(t\to\infty\), where \(\tau\) is the exit time from a cycle containing \(i\).
Mathematics Subject Classification ID: 60J27
zbMATH DE Number: 1319838
reviewed by: Oleg K. Zakusilo
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1028903456
OpenAlex ID: W1994962878
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DOI: 10.1214/AOAP/1028903456
description: scientific article; zbMATH DE number 1319838