Lévy flights, non-local search and simulated annealing

  • Authors:

  • Ilya Pavlyukevich

  • Affiliations:

  • Department of Mathematics, Humboldt University of Berlin, Rudower Chaussee 25, 12489 Berlin, Germany

  • Venue:
  • Journal of Computational Physics
  • Year:
  • 2007

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Abstract

We solve a problem of non-convex stochastic optimisation with help of simulated annealing of Lévy flights of a variable stability index. The search of the ground state of an unknown potential is non-local due to big jumps of the Levy flights process. The convergence to the ground state is fast due to a polynomial decrease rate of the temperature.