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Singular perturbed Markov chains and exact behaviors of simulated annealing processes. (English) Zbl 0755.60047
Summary: We study asymptotic properties of discrete and continuous time generalized simulated annealing processes \(X(\cdot)\) by considering a class of singular perturbed Markov chains which are closely related to the large deviation of perturbed diffusion processes. Convergence of \(X(t)\) in probability to a set \(S_ 0\) of desired states, e.g., the set of global minima, and in distribution to a probability concentrated on \(S_ 0\) are studied. The corresponding two critical constants denoted by \(d\) and \(\Lambda\) with \(d\leq\Lambda\) are given explicitly. When the cooling schedule is of the form \(c/\log t\), \(X(t)\) converges weakly for \(c>0\). Whether the weak limit depends on \(X(0)\) or concentrates on \(S_ 0\) is determined by the relation between \(c\), \(d\), and \(\Lambda\). When \(c>\Lambda\), the expression for the rate of convergence for each state is also derived.

60J05 Discrete-time Markov processes on general state spaces
60F10 Large deviations
Full Text: DOI
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