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Pathwise recurrence orders and simulated annealing

Part of: Markov processes

Published online by Cambridge University Press:  14 July 2016

Vivek S. Borkar
Vivek S. Borkar*
Affiliation:
Indian Institute of Science, Bangalore
*
∗Postal address: Department of Electrical Engineering, Indian Institute of Science, Bangalore 560 012, India.
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Abstract

The Connors–Kumar notion of recurrence orders for state and state transitions of time-inhomogeneous Markov chains is redefined ‘pathwise' and applied to the sample path analysis of the simulated annealing algorithm.

Keywords

ORDER BALANCE EQUATIONTIME-INHOMOGENEOUS MARKOV CHAINSCESARO CONVERGENCE

MSC classification

Secondary: 60J10: Markov chains (discrete-time Markov processes on discrete state spaces) 60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
Type
Short Communications
Information
Journal of Applied Probability , Volume 29 , Issue 2 , June 1992 , pp. 472 - 476
Copyright
Copyright © Applied Probability Trust 1992 

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References

Breiman, L. (1968) Probability. Addison-Wesley, Reading, Mass.Google Scholar
Connors, D. P. and Kumar, P. R. (1988) Balance of recurrence orders in time-inhomogeneous Markov chains with application to simulated annealing. Prob. Eng. Inf. Sci. 2, 157–184.Google Scholar
Connors, D. P. and Kumar, P. R. (1989) Simulated annealing type Markov chains and their order balance equations. SIAM J. Control Optim. 27, 1440–1461.Google Scholar