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February 1998 Weak convergence rates for stochastic approximation with application to multiple targets and simulated annealing
Mariane Pelletier
Ann. Appl. Probab. 8(1): 10-44 (February 1998). DOI: 10.1214/aoap/1027961032

Abstract

We study convergence rates of $\mathbb{R}$-valued algorithms, especially in the case of multiple targets and simulated annealing. We precise, for example, the convergence rate of simulated annealing algorithms, whose weak convergence to a distribution concentrated on the potential's minima had been established by Gelfand and Mitter or by Hwang and Sheu.

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Mariane Pelletier. "Weak convergence rates for stochastic approximation with application to multiple targets and simulated annealing." Ann. Appl. Probab. 8 (1) 10 - 44, February 1998. https://doi.org/10.1214/aoap/1027961032

Information

Published: February 1998
First available in Project Euclid: 29 July 2002

zbMATH: 0965.62065
MathSciNet: MR1620405
Digital Object Identifier: 10.1214/aoap/1027961032

Subjects:
Primary: 60F05 , 60H10 , 62L20

Keywords: simulated annealing , stochastic algorithms , weak convergence

Rights: Copyright © 1998 Institute of Mathematical Statistics

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Vol.8 • No. 1 • February 1998
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