On the Generalised Langevin Equation for Simulated Annealing

28 Mar 2020 Chak Martin Kantas Nikolas Pavliotis Grigorios A.

In this paper, we consider the generalised (higher order) Langevin equation for the purpose of simulated annealing and optimisation of nonconvex functions. Our approach modifies the underdamped Langevin equation by replacing the Brownian noise with an appropriate Ornstein-Uhlenbeck process to account for memory in the system... (read more)

PDF Abstract
No code implementations yet. Submit your code now

Categories


  • PROBABILITY
  • OPTIMIZATION AND CONTROL