Title :
On stochastic stabilization
Author :
Brockett, Roger W.
Author_Institution :
Div. of Appl. Sci., Harvard Univ., Cambridge, MA, USA
Abstract :
In some settings the deliberate introduction of noise can have a beneficial effect on the rate of convergence of numerical algorithms for finding the minima of functions. This is an important aspect of simulated annealing. However, there are situations which, in contrast to simulated annealing, do not involve reducing the noise level with time and which are also of interest in a computational and control context. Problems of this type are considered. The effect of the addition of a noise term to the solution of a differential equation is investigated via properties of the associated Fokker-Plank operator
Keywords :
computational complexity; control system synthesis; convergence of numerical methods; minimisation; noise; stochastic programming; Fokker-Plank operator; computational complexity; control theory; convergence; differential equation; minima; noise; numerical algorithms; stochastic stabilization; Computational modeling; Context modeling; Convergence; Degradation; Differential equations; H infinity control; Noise level; Simulated annealing; Stochastic processes; Stochastic resonance;
Conference_Titel :
Decision and Control, 1989., Proceedings of the 28th IEEE Conference on
Conference_Location :
Tampa, FL
DOI :
10.1109/CDC.1989.70567
