Convergence of Simulated Annealing Using Kinetic Langevin Dynamics

Abstract: We study the simulated annealing algorithm based on the kinetic Langevin dynamics, in order to find the global minimum of a non-convex potential function. For both the continuous time formulation and a discrete time analogue, we obtain the convergence rate results under technical conditions on the potential function, together with an appropriate choice of the cooling schedule and the time discretization parameters.