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On the invariant measure of non-reversible simulated annealing

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  • Löwe, Matthias

Abstract

We give a criterion to ensure convergence of non-reversible simulated annealing algorithms to the set of global minima of the target function U. We show, that such conditions only have to take into account the structure of the local minima of U. Moreover we give an example showing that in general (i.e. without any further condition) non-reversible simulated annealing may converge to suboptimal points.

Suggested Citation

  • Löwe, Matthias, 1997. "On the invariant measure of non-reversible simulated annealing," Statistics & Probability Letters, Elsevier, vol. 36(2), pages 189-193, December.
    • Handle: RePEc:eee:stapro:v:36:y:1997:i:2:p:189-193
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    References listed on IDEAS

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    1. Bruce Hajek, 1988. "Cooling Schedules for Optimal Annealing," Mathematics of Operations Research, INFORMS, vol. 13(2), pages 311-329, May.
    2. John N. Tsitsiklis, 1989. "Markov Chains with Rare Transitions and Simulated Annealing," Mathematics of Operations Research, INFORMS, vol. 14(1), pages 70-90, February.
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