Singular perturbed Markov chains and exact behaviors of simulated annealing processes

We study asymptotic properties of discrete and continuous time generalized simulated annealing processesX(·) by considering a class of singular perturbed Markov chains which are closely related to the large deviation of perturbed diffusion processes. Convergence ofX(t) in probability to a setS ₀ of desired states, e.g., the set of global minima, and in distribution to a probability concentrated onS ₀ are studied. The corresponding two critical constants denoted byd and withd are given explicitly. When the cooling schedule is of the formc/logt, X(t) converges weakly forc>0. Whether the weak limit depends onX(0) or concentrates onS ₀ is determined by the relation betweenc, d, and . Whenc>, the expression for the rate of convergence for each state is also derived.