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Tail events of simulated annealing Markov chains

Part of: Markov processes

Published online by Cambridge University Press:  14 July 2016

Wojciech Niemiro
Wojciech Niemiro*
Affiliation:
University of Warsaw
*
∗Postal address: Institute of Applied Mathematics and Mechanics, University of Warsaw, Poland.
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Abstract

We consider non-homogeneous Markov chains generated by the simulated annealing algorithm. We classify states according to asymptotic properties of trajectories. We identify recurrent and transient states. The set of recurrent states is partitioned into disjoint classes of asymptotically communicating states. These classes correspond to atoms of the tail sigma-field. The results are valid under the weak reversibility assumption of Hajek.

Keywords

NON-HOMOGENEOUS MARKOV CHAINRECURRENCETRANSIENCETAIL SIGMA-FIELD

MSC classification

Primary: 60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
Secondary: 90C15: Stochastic programming
Type
Research Papers
Information
Journal of Applied Probability , Volume 32 , Issue 4 , December 1995 , pp. 867 - 876
Copyright
Copyright © Applied Probability Trust 1995 

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Footnotes

Research supported by KBN grant no. 21168/91/01.

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