Linear Convergence of Comparison-based Step-size Adaptive Randomized Search via Stability of Markov Chains.
Anne AugerNikolaus HansenPublished in: SIAM J. Optim. (2016)
Keyphrases
- step size
- markov chain
- variable step size
- convergence rate
- convergence speed
- steepest descent method
- faster convergence
- randomized search
- adaptive filter
- steady state
- least mean square
- cost function
- transition probabilities
- markov processes
- blind source separation
- line search
- finite state
- markov process
- stationary distribution
- monte carlo
- markov model
- random walk
- probabilistic automata
- global convergence
- state space
- decision trees
- transition matrix
- wavelet coefficients
- stochastic gradient descent
- differential evolution
- learning rate
- gradient method
- hidden markov models
- multiresolution
- neural network