Controlled stochastic processes for simulated annealing
Fuente:
arXiv
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| Autores principales: | , , , |
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| Formato: | Preprint |
| Publicado: |
2025
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| Acceso en línea: | |
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| _version_ | 1866915237011128320 |
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| author | Molin, Vincent Ringh, Axel Schauer, Moritz Sharma, Akash |
| author_facet | Molin, Vincent Ringh, Axel Schauer, Moritz Sharma, Akash |
| contents | Simulated annealing solves global optimization problems by means of a random walk in a cooling energy landscape based on the objective function and a temperature parameter. However, if the temperature is decreased too quickly, this procedure often gets stuck in suboptimal local minima. In this work, we consider the cooling landscape as a curve of probability measures. We prove the existence of a minimal norm velocity field which solves the continuity equation, a differential equation that governs the evolution of the aforementioned curve. The solution is the weak gradient of an integrable function, which is in line with the interpretation of the velocity field as a derivative of optimal transport maps. We show that controlling stochastic annealing processes by superimposing this velocity field would allow them to follow arbitrarily fast cooling schedules. Here we consider annealing processes based on diffusions and piecewise deterministic Markov processes. Based on convergent optimal transport-based approximations to this control, we design a novel interacting particle--based optimization method that accelerates annealing. We validate this accelerating behaviour in numerical experiments. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2504_08506 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Controlled stochastic processes for simulated annealing Molin, Vincent Ringh, Axel Schauer, Moritz Sharma, Akash Optimization and Control Probability Simulated annealing solves global optimization problems by means of a random walk in a cooling energy landscape based on the objective function and a temperature parameter. However, if the temperature is decreased too quickly, this procedure often gets stuck in suboptimal local minima. In this work, we consider the cooling landscape as a curve of probability measures. We prove the existence of a minimal norm velocity field which solves the continuity equation, a differential equation that governs the evolution of the aforementioned curve. The solution is the weak gradient of an integrable function, which is in line with the interpretation of the velocity field as a derivative of optimal transport maps. We show that controlling stochastic annealing processes by superimposing this velocity field would allow them to follow arbitrarily fast cooling schedules. Here we consider annealing processes based on diffusions and piecewise deterministic Markov processes. Based on convergent optimal transport-based approximations to this control, we design a novel interacting particle--based optimization method that accelerates annealing. We validate this accelerating behaviour in numerical experiments. |
| title | Controlled stochastic processes for simulated annealing |
| topic | Optimization and Control Probability |
| url | https://arxiv.org/abs/2504.08506 |