On constrained simulation and optimization by Metropolis chains

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.

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Year of publication:	2000
Authors:	Yao, J.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 46.2000, 2, p. 187-193
Publisher:	Elsevier
Keywords:	Constrained simulation Constrained optimization Metropolis algorithm

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319754