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A generalization of the Solis-Wets method

TítuloA generalization of the Solis-Wets method
Publication TypeUnpublished
Year of Publication2010
Authorsde Carvalho M
Series TitlePreprint
Palavras-chaveExtremum estimators, Improving hit-and-run algorithm, Solis-Wets method, Stochastic optimization, Zigzag algorithm
AbstractThis paper is concerned with the application of global stochastic optimization methods to extremum estimators. We propose a general stochastic method - the master method -, which includes several other 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.
URLhttp://www.dm.fct.unl.pt/sites/www.dm.fct.unl.pt/files/preprints/2010/17_10.pdf