Global Optimization by Adapted Diffusion
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Poliannikov-2010-Global Optimization.pdf
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Author(s)
Poliannikov, Oleg V.
Zhizhina, Elena
Krim, Hamid
Date Issued
December 2010
Journal
IEEE Transactions on Signal Processing
Publisher
Institute of Electrical and Electronics Engineers
Citation
Poliannikov, Oleg V., Elena Zhizhina, and Hamid Krim. “Global Optimization by Adapted Diffusion.” IEEE Transactions on Signal Processing 58.12 (2010): 6119–6125. Web. © 2012 IEEE.
Version
Final published version
Abstract
In this paper, we study a diffusion stochastic dynamics with a general diffusion coefficient. The main result is that adapting the diffusion coefficient to the Hamiltonian allows to escape local wide minima and to speed up the convergence of the dynamics to the global minima. We prove the convergence of the invariant measure of the modified dynamics to a measure concentrated on the set of global minima and show how to choose a diffusion coefficient for a certain class of Hamiltonians.
MIT Department
Massachusetts Institute of Technology. Department of Earth, Atmospheric, and Planetary Sciences
Massachusetts Institute of Technology. Earth Resources Laboratory
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Article is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use.
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DOI of Published Version
https://doi.org/10.1109/tsp.2010.2071867
