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Improved bounds for the large-time behaviour of simulated annealing

Part of: Basic linear algebra Markov processes Probabilistic methods, simulation and stochastic differential equations

Published online by Cambridge University Press:  14 July 2016

Eric Fontenas  and
Olivier François
Eric Fontenas*
Affiliation:
LABSAD, Grenoble
Olivier François*
Affiliation:
Laboratoire TIMC, Grenoble
*
∗ Postal address: LABSAD, 1251 Avenue Centrale BP 47, F38040 Grenoble Cedex, France. Email address: eric.fontenas@upmf-grenoble.fr
∗∗ Postal address: Laboratoire TIMC, Faculté de Médecine, F38706 La Tronche Cedex, France.
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Abstract

We improve on previous finite time estimates for the simulated annealing algorithm which were obtained from a Cheeger-like approach. Our approach is based on a Poincaré inequality.

Keywords

Simulated annealinggeometric inequalities

MSC classification

Primary: 60J10: Markov chains (discrete-time Markov processes on discrete state spaces) 65C40: Computational Markov chains
Secondary: 15A42: Inequalities involving eigenvalues and eigenvectors

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 40 , Issue 4 , September 2003 , pp. 961 - 969
Copyright
Copyright © Applied Probability Trust 2003 

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