Title :

Oscillation of Metropolis Hastings and simulated annealing algorithms around LASSO estimator

Author(s) :

Dermoune, Azzouz [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Ounaissi, Daoud [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Rahmania, Nadji [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]

Journal title :

MATHEMATICS AND COMPUTERS IN SIMULATION

Pages :

39-50

Publisher :

Elsevier

Publication date :

2017-05-05

ISSN :

0378-4754

HAL domain(s) :

Mathématiques [math]

English abstract : [en]

In this work we study, as the temperature goes to zero, the oscillation of a family of Gibbs measures around LASSO estimator. We derive new criteria for estimating LASSO, choosing the proposal distribution and the temperature ...
Show more >In this work we study, as the temperature goes to zero, the oscillation of a family of Gibbs measures around LASSO estimator. We derive new criteria for estimating LASSO, choosing the proposal distribution and the temperature in Metropolis–Hastings algorithm. Finally we apply these results to analyse the convergence of Metropolis–Hastings and simulated annealing algorithms.Show less >

Language :

Anglais

Popular science :

Non

ANR Project :

Centre Européen pour les Mathématiques, la Physique et leurs Interactions

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL