English

The asymptotic behavior of fraudulent algorithms

Probability 2024-01-24 v1

Abstract

Let UU be a Morse function on a compact connected mm-dimensional Riemannian manifold, m2,m \geq 2, satisfying minU=0\min U=0 and let U={xM:U(x)=0}\mathcal{U} = \{x \in M \: : U(x) = 0\} be the set of global minimizers. Consider the stochastic algorithm X(β):=(X(β)(t))t0X^{(\beta)}:=(X^{(\beta)}(t))_{t\geq 0} defined on N=MU,N = M \setminus \mathcal{U}, whose generator isUΔβU,U \Delta \cdot-\beta\langle \nabla U,\nabla \cdot\rangle, where β\RR\beta\in\RR is a real parameter.We show that for β>m21,\beta>\frac{m}{2}-1, X(β)(t)X^{(\beta)}(t) converges a.s.\ as tt \rightarrow \infty, toward a point pUp \in \mathcal{U} and that each pUp \in \mathcal{U} has a positive probability to be selected. On the other hand, for β<m21,\beta < \frac{m}{2}-1, the law of (X(β)(t))(X^{(\beta)}(t)) converges in total variation (at an exponential rate) toward the probability measure πβ\pi_{\beta} having density proportional to U(x)1βU(x)^{-1-\beta} with respect to the Riemannian measure.

Keywords

Cite

@article{arxiv.2401.12605,
  title  = {The asymptotic behavior of fraudulent algorithms},
  author = {Michel Benaïm and Laurent Miclo},
  journal= {arXiv preprint arXiv:2401.12605},
  year   = {2024}
}