Oscillation of adaptative Metropolis-Hasting and simulated annealing algorithms around penalized least squares estimator
Statistics Theory
2014-03-20 v1 Statistics Theory
Abstract
In this work we study, as the temperature goes to zero, the oscillation of Metropolis-Hasting's algorithm around the Basis Pursuit De-noising solutions. We derive new criteria for choosing the proposal distribution and the temperature in Metropolis-Hasting's algorithm. Finally we apply these results to compare Metropolis-Hasting's and simulated annealing algorithms.
Keywords
Cite
@article{arxiv.1403.4827,
title = {Oscillation of adaptative Metropolis-Hasting and simulated annealing algorithms around penalized least squares estimator},
author = {Azzouz Dermoune and Daoud Ounaissi and Nadji Rahmania},
journal= {arXiv preprint arXiv:1403.4827},
year = {2014}
}