Titre :

Oscillation of Metropolis Hastings and simulated annealing algorithms around LASSO estimator

Auteur(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]

Titre de la revue :

MATHEMATICS AND COMPUTERS IN SIMULATION

Pagination :

39-50

Éditeur :

Elsevier

Date de publication :

2017-05-05

ISSN :

0378-4754

Discipline(s) HAL :

Mathématiques [math]

Résumé en anglais : [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 ...
Lire la suite >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.Lire moins >

Langue :

Anglais

Vulgarisation :

Non

Projet ANR :

Centre Européen pour les Mathématiques, la Physique et leurs Interactions

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL