Stationary probability density of stochastic search processes in global optimization

A method for the construction of approximate analytical expressions for the stationary marginal densities of general stochastic search processes is proposed. By the marginal densities, regions of the search space that with high probability contain the global optima can be readily defined. The density estimation procedure involves a controlled number of linear operations, with a computational cost per iteration that grows linearly with problem size

Faster Convex Optimization: Simulated Annealing with an Efficient Universal Barrier

This paper explores a surprising equivalence between two seemingly-distinct convex optimization methods. We show that simulated annealing, a well-studied random walk algorithms, is directly equivalent, in a certain sense, to the central path interior point algorithm for the the entropic universal barrier function. This connection exhibits several benefits. First, we are able improve the state of the art time complexity for convex optimization under the membership oracle model. We improve the analysis of the randomized algorithm of Kalai and Vempala by utilizing tools developed by Nesterov and Nemirovskii that underly the central path following interior point algorithm. We are able to tighten the temperature schedule for simulated annealing which gives an improved running time, reducing by square root of the dimension in certain instances. Second, we get an efficient randomized interior point method with an efficiently computable universal barrier for any convex set described by a membership oracle. Previously, efficiently computable barriers were known only for particular convex sets

A Bayesian approach to discrete object detection in astronomical datasets

A Bayesian approach is presented for detecting and characterising the signal from discrete objects embedded in a diffuse background. The approach centres around the evaluation of the posterior distribution for the parameters of the discrete objects, given the observed data, and defines the theoretically-optimal procedure for parametrised object detection. Two alternative strategies are investigated: the simultaneous detection of all the discrete objects in the dataset, and the iterative detection of objects. In both cases, the parameter space characterising the object(s) is explored using Markov-Chain Monte-Carlo sampling. For the iterative detection of objects, another approach is to locate the global maximum of the posterior at each iteration using a simulated annealing downhill simplex algorithm. The techniques are applied to a two-dimensional toy problem consisting of Gaussian objects embedded in uncorrelated pixel noise. A cosmological illustration of the iterative approach is also presented, in which the thermal and kinetic Sunyaev-Zel'dovich effects from clusters of galaxies are detected in microwave maps dominated by emission from primordial cosmic microwave background anisotropies.Comment: 20 pages, 12 figures, accepted by MNRAS; contains some additional material in response to referee's comment