| Title | A generalization of the Solis-Wets method |
| Publication Type | Unpublished |
| Year of Publication | 2010 |
| Authors | de Carvalho M |
| Series Title | Preprint |
| Keywords | Extremum estimators, Improving hit-and-run algorithm, Solis-Wets method, Stochastic optimization, Zigzag algorithm |
| Abstract | This 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. |
| URL | http://www.dm.fct.unl.pt/sites/www.dm.fct.unl.pt/files/preprints/2010/17_10.pdf |
