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On constrained simulation and optimization by Metropolis chains

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  • Yao, J.

Abstract

Given an everywhere positive probability measure [pi] on a finite state space E and the associated energy function H, this note gives convergence results for time-inhomogeneous Metropolis chains which are used to simulate [pi] or minimize H under some constraints.

Suggested Citation

  • Yao, J., 2000. "On constrained simulation and optimization by Metropolis chains," Statistics & Probability Letters, Elsevier, vol. 46(2), pages 187-193, January.
    • Handle: RePEc:eee:stapro:v:46:y:2000:i:2:p:187-193
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    Cited by:

    1. Jeffrey W. Ohlmann & James C. Bean & Shane G. Henderson, 2004. "Convergence in Probability of Compressed Annealing," Mathematics of Operations Research, INFORMS, vol. 29(4), pages 837-860, November.

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