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Simulated annealing with a potential function with discontinuous gradient on Rd |
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| Authors: | Guanglu Gong Yong Liu Minping Qian |
| Affiliation: | 1. Department of Probability and Statistics, Peking University, 100871, Beijing, China 2. Department of Mathematical Sciences, Tsinghua University, 100084, Beijing, China 3. Institute of Applied Mathematics, Chinese Academy of Sciences, 100080, Beijing, China |
| Abstract: | In this paper, we have proven that the simulated annealing processdX t = ?β(t) ?U (X t ) + √2dW tt with a potential function on Rd, of which the gradient is discontinuous, converges in probability to a neighborhood of the global minima of the potential function. |
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