A Generalization of the Solis--Wets Method

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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.
Original languageEnglish
Pages (from-to)633-644
Number of pages12
JournalJournal of statistical planning and inference
Volume142
Issue number3
DOIs
Publication statusPublished - 2012

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