Piecewise deterministic simulated annealing
Probability
2016-04-04 v4
Abstract
Given an energy potential on the Euclidian space, a piecewise deterministic Markov process is designed to sample the corresponding Gibbs measure. In dimension one an Eyring-Kramers formula is obtained for the exit time of the domain of a local minimum at low temperature, and a necessary and sufficient condition is given on the cooling schedule in a simulated annealing algorithm to ensure the process converges to the set of global minima. This condition is similar to the classical one for diffusions and involves the critical depth of the potential. In higher dimension a non optimal sufficient condition is obtained.
Cite
@article{arxiv.1410.1656,
title = {Piecewise deterministic simulated annealing},
author = {Pierre Monmarché},
journal= {arXiv preprint arXiv:1410.1656},
year = {2016}
}