Abstract / Description of output
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 language | English |
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Pages (from-to) | 633-644 |
Number of pages | 12 |
Journal | Journal of Statistical Planning and Inference |
Volume | 142 |
Issue number | 3 |
DOIs | |
Publication status | Published - 2012 |