On constrained simulation and optimization by Metropolis chains

J. Yao

Statistics & Probability Letters, 2000, vol. 46, issue 2, 187-193

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.

Keywords: Constrained; simulation; Constrained; optimization; Metropolis; algorithm (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (1)

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