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|a Poliannikov, Oleg V.
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|a Massachusetts Institute of Technology. Department of Earth, Atmospheric, and Planetary Sciences
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|a Massachusetts Institute of Technology. Earth Resources Laboratory
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|a Poliannikov, Oleg
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|a Poliannikov, Oleg V.
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|a Zhizhina, Elena
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|a Krim, Hamid
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|a Global Optimization by Adapted Diffusion
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|b Institute of Electrical and Electronics Engineers,
|c 2012-05-16T19:00:48Z.
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|z Get fulltext
|u http://hdl.handle.net/1721.1/70849
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|a In this paper, we study a diffusion stochastic dynamics with a general diffusion coefficient. The main result is that adapting the diffusion coefficient to the Hamiltonian allows to escape local wide minima and to speed up the convergence of the dynamics to the global minima. We prove the convergence of the invariant measure of the modified dynamics to a measure concentrated on the set of global minima and show how to choose a diffusion coefficient for a certain class of Hamiltonians.
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|a United States. Air Force Office of Scientific Research (Grant FA 9550-07-1-0104)
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|a en_US
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|a Article
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|t IEEE Transactions on Signal Processing
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