A generalization of the Solis-Wets method |
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Authors: | Miguel de Carvalho |
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Affiliation: | Institute of Mathematics, Analysis, and Applications, Ecole Polytechnique Fédérale de Lausanne, Switzerland |
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Abstract: | In this paper we focus on the application of global stochastic optimization methods to extremum estimators. We propose a general stochastic method—the master method—which includes several stochastic optimization algorithms as a particular case. The proposed method is sufficiently general to include the Solis-Wets method, the improving hit-and-run algorithm, and a stochastic version of the zigzag algorithm. A matrix formulation of the master method is presented and some specific results are given for the stochastic zigzag algorithm. Convergence of the proposed method is established under a mild set of conditions, and a simple regression model is used to illustrate the method. |
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Keywords: | Extremum estimators Improving hit-and-run algorithm Solis-Wets method Stochastic optimization Zigzag algorithm |
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