Simulated annealing algorithms and Markov chains with rare transitions
Simulated annealing algorithms and Markov chains with rare transitions
In these notes, written for a D.E.A. course at University Paris XI during the first term of 1995, we prove the essentials about stochastic optimisation algorithms based on Markov chains with rare transitions, under the weak assumption that the transition matrix obeys a large deviation principle. We present a new …