On Proving Linear Convergence of Comparison-based Step-size Adaptive Randomized Search on Scaling-Invariant Functions via Stability of Markov Chains.
Anne AugerNikolaus HansenPublished in: CoRR (2013)
Keyphrases
- step size
- markov chain
- variable step size
- convergence rate
- convergence speed
- steepest descent method
- randomized search
- faster convergence
- least mean square
- steady state
- transition probabilities
- adaptive filter
- cost function
- finite state
- line search
- blind source separation
- markov processes
- markov model
- state space
- stationary distribution
- monte carlo
- markov process
- global convergence
- random walk
- probabilistic automata
- transition matrix
- gradient method
- stochastic gradient descent
- objective function
- learning rate
- wavelet coefficients
- particle swarm optimization
- simulated annealing
- markov models
- differential evolution
- image processing