Global Optimization by Adapted Diffusion
Author(s)Poliannikov, Oleg V.; Zhizhina, Elena; Krim, Hamid
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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.
DepartmentMassachusetts Institute of Technology. Department of Earth, Atmospheric, and Planetary Sciences; Massachusetts Institute of Technology. Earth Resources Laboratory
IEEE Transactions on Signal Processing
Institute of Electrical and Electronics Engineers
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.
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INSPEC Accession Number: 11641770