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Wear convergence rates for stochastic approximation with application to multiple targets and simulated annealing

Abstract : We study convergence rates of R-d-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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https://hal-upec-upem.archives-ouvertes.fr/hal-00694267
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Submitted on : Thursday, May 3, 2012 - 11:44:50 PM
Last modification on : Thursday, March 19, 2020 - 12:26:02 PM

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  • HAL Id : hal-00694267, version 1

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M Pelletier. Wear convergence rates for stochastic approximation with application to multiple targets and simulated annealing. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 1998, 8 (1), pp.10--44. ⟨hal-00694267⟩

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