Approximation of the distribution of convergence times for stochastic global optimisation

Journal of Global Optimization

Volumn 22, Issue 1-4, 2002, Pages 271-284

  Wood, G R ^a   Alexander, D L ^a   Bulger, D W ^a  

^a MASSEY UNIVERSITY   (New Zealand)

Author keywords

Adaptive search; Markov chain; Optimization; Stochastic approximation; Stochastic process

Indexed keywords

APPROXIMATION ALGORITHMS; APPROXIMATION THEORY; GLOBAL OPTIMIZATION; MARKOV PROCESSES; OPTIMIZATION; RANDOM PROCESSES; SIMULATED ANNEALING;

ADAPTIVE SEARCH; CONVERGENCE TIME; GLOBAL OPTIMISATION; NUMBER OF ITERATIONS; ORIGINAL ALGORITHMS; STOCHASTIC APPROXIMATIONS; SUCCESSIVE APPROXIMATIONS;

STOCHASTIC SYSTEMS;

EID: 31244433440     PISSN: 09255001     EISSN: 15732916     Source Type: Journal    
DOI: 10.1023/a:1013823616640     Document Type: Article

References (13)

1. Baritompa, W. P. and Steel, M. A. (1996), Bounds on absorption times of directionally biased random sequences, Random Structures and Algorithms9: 279–293
2. Bulger, D. W. and Wood, G. R. (1998), Hesitant adaptive search for global optimisation, Mathematical Programming81: 89–102
3. Glover, F. and Laguna, M. (1997), Tabu Search, Kluwer Academic Publishers, Boston, MA
4. Holland, J. H. (1975), Adaptation in natural and artificial systems, The University of Michigan Press, Ann Arbor, MI
5. Kemeny, J. G. and Snell, J. L. (1960), Finite Markov Chains, Van Nostrand, New York
6. Kirkpatrick, S., Gelatt, C. D. Jr. and Vecchi, M. P. (1983), Optimisation by simulated annealing, Science220: 671–680
7. Kristinsdottir, B. P., Zabinsky, Z. B. and Wood, G. R., Discrete backtracking adaptive search for global optimization, in Stochastic Methods in Global Optimization, dedicated to the 70th anniversary of Professor J. Mockus, edited by G. Dzemyda, V. Saltenis and A. Zilinskas, Kluwer Academic Publishers, Dordrecht (to appear)
8. Locatelli, M. and Schoen, F. (2000), Convergence rates of simulated annealing, Preprint University of Florence
9. Metropolis, N., Rosenbluth, A. W., Rosenbluth, M. N., Teller, A. H. and Teller, E. (1953), Equations of state calculations by fast computing machines, The Journal of Chemical Physics21: 1087–1092
10. Romeijn, H. E. and Smith, R. L. (1994), Simulated annealing and adaptive search in global optimisation, Probability in the Engineering and Informational Sciences8: 571–590
11. Trouvé, A. (1996), Cycle decompositions and simulated annealing, SIAM J. Control and Optimization34: 966–986
12. Wood, G. R., Zabinsky, Z. B. and Kristinsdottir, B. P. (2001), Hesitant adaptive search: the distribution of the number of iterations to convergence, Mathematical Programming89: 479–486
13. Zabinsky, Z. B. and Smith, R. L. (1992), Pure adaptive search in global optimization, Mathematical Programming53: 323–338.