Oscillation of Metropolis-Hastings and simulated annealing algorithms around LASSO estimator
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- 作者：Azzouz Dermoune ; azzouz.dermoune@univ-lille1.fr ; Daoud Ounaissi ; Nadji Rahmania
- 关键词：Penalized least squares ; LASSO ; Metropolis&ndash ; Hasting algorithm ; Simulated annealing algorithm ; Gibbs measures
- 刊名：Mathematics and Computers in Simulation
- 出版年：2017
- 出版时间：May 2017
- 年：2017
- 卷：135
- 期：Complete
- 页码：39-50
- 全文大小：322 K
- 卷排序：135
文摘
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.