[ ResearchGate] [ Google Scholar] [ ORCID] [arXiv] [MathSciNet]

“Nothing takes place in the world whose meaning is not that of some maximum or minimum” - Leonhard Euler

Comparing 4 Langevin diffusions and momentum method on Ackley function.

Left: Langevin diffusion on the contour lines of Ackley function. Right: Improved Langevin diffusion by Fang et al. (SPA 1997)

Left: Classical SA on a randomly generated 50-node TSP. Right: Discrete ISA on the same 50-node TSP.

Left: Classical SA on a randomly generated 500-node TSP. Right: Discrete ISA on the same 500-node TSP.

**Markov chains, Markov processes: theory and applications**

**Stochastic algorithms: Markov chain Monte Carlo, Metropolis-Hastings, simulated annealing, Langevin dynamics, Hamiltonian Monte Carlo**

**Statistical physics, applied probability, stochastic optimization, information theory**

Michael C.H. Choi and Jing Zhang. Improved annealing for sampling from multimodal distributions via landscape modification. [arXiv]

Michael C.H. Choi. On the convergence of an improved discrete simulated annealing via landscape modification. [arXiv]

Michael C.H. Choi. On the convergence of an improved and adaptive kinetic simulated annealing. [arXiv] [ Slides] [ Youtube]

Michael C.H. Choi. Universality of the Langevin diffusion as scaling limit of a family of Metropolis-Hastings processes I: fixed dimension. Submitted. [arXiv]

Michael C.H. Choi, Zhipeng Huang. Generalized Markov chain tree theorem and Kemeny’s constant for a class of non-Markovian matrices. Submitted. [ResearchGate]

Michael C.H. Choi. Hitting, mixing and tunneling asymptotics of Metropolis-Hastings reversiblizations in the low-temperature regime. **J. Math. Anal. Appl.** (2021), Volume 497, Issue 1, 124853. [ResearchGate] [doi]

Michael C.H. Choi. An improved variant of simulated annealing that converges under fast cooling. **Markov Process. Related Fields**, to appear. [Slides] [Handwritten notes] [arXiv]

Michael C.H. Choi, Pierre Patie. Analysis of non-reversible Markov chains via similarity orbit. **Combin. Probab. Comput.** (2020), Volume 29, Issue 4, pp. 508-536. [ Slides] [arXiv][doi]

Michael C.H. Choi, Chihoon Lee and Jian Song. Entropy flow and De Bruijn’s identity for a class of stochastic differential equations driven by fractional Brownian motion. **Probab. Engrg. Inform. Sci.**, to appear. [arXiv][doi]

Michael C.H. Choi. Metropolis-Hastings reversiblizations of non-reversible Markov chains. **Stochastic Process. Appl.** (2020), Volume 130 Issue 2 Page 1041-1073. [ Slides] [arXiv][doi]

Michael C.H. Choi and Lu-Jing Huang. On hitting time, mixing time and geometric interpretations of Metropolis-Hastings reversiblizations. **J. Theoret. Probab.** (2020), Volume 33 Issue 2 Page 1144-1163. [arXiv][doi]

Michael C.H. Choi, Evelyn Li. A Hoeffding’s inequality for uniformly ergodic diffusion process. **Statist. Probab. Lett.** (2019), Volume 150 Page 23-28. [arXiv][doi]

Michael C.H. Choi. On resistance distance of Markov chain and its sum rules. **Linear Algebra Appl.** (2019), Volume 571 Page 14-25. [arXiv][doi]

Michael C.H. Choi, Pierre Patie. Skip-free Markov chains. **Trans. Amer. Math. Soc.** (2019), Volume 371 Number 10 Page 7301-7342. [arXiv][doi]

Michael C.H. Choi. Velocity formulae between entropy and hitting time for Markov chains. **Statist. Probab. Lett.** (2018), Volume 141 Page 62-67. [arXiv][doi]

Michael C.H. Choi. Hitting time and mixing time bounds of Stein’s factors. **Electron. Commun. Probab.** 23 (2018), paper no. 6. [arXiv][doi]

Michael C.H. Choi, Pierre Patie. A sufficient condition for continuous-time finite skip-free Markov chains to have real eigenvalues. **Proceedings of AMMCS-CAIMS** 2015.

Michael C.H. Choi, Eric C.K. Cheung. On the expected discounted dividends in the Cramer-Lundberg model with more frequent ruin monitoring than dividend decisions. **Insurance Math. Econom.** (2014) Volume 59 121-132. [doi]