Probabilistic Search with Overrides
Fox, Bennett L. ; Heine, George W.
Ann. Appl. Probab., Tome 5 (1995) no. 4, p. 1087-1094 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
Consider a time-inhomogeneous Markov chain which converges in probability to a subset $S_0$ of its state space. Override the standard move mechanism up to a random transition time, almost surely finite, but not necessarily a stopping time. Under weak conditions, the modified process converges in probability to the same set $S_0$. Two examples of independent interest illustrate this result.
Publié le : 1995-11-14
Classification:  Simulated annealing,  optimization,  loop-skipping,  coupling,  noisy objective function,  60J05,  60J10,  60K10,  90C10,  90C11,  90C26 
@article{1177004607,
     author = {Fox, Bennett L. and Heine, George W.},
     title = {Probabilistic Search with Overrides},
     journal = {Ann. Appl. Probab.},
     volume = {5},
     number = {4},
     year = {1995},
     pages = { 1087-1094},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177004607}
}

Fox, Bennett L.; Heine, George W. Probabilistic Search with Overrides. Ann. Appl. Probab., Tome 5 (1995) no. 4, pp.  1087-1094. http://gdmltest.u-ga.fr/item/1177004607/