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arXiv · 1403.4827

Oscillation of adaptative Metropolis-Hasting and simulated annealing algorithms around penalized least squares estimator

Azzouz Dermoune·Daoud Ounaissi·Nadji Rahmania
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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.

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Azzouz Dermoune, Daoud Ounaissi, Nadji Rahmania. 2014-03-19. Oscillation of adaptative Metropolis-Hasting and simulated annealing algorithms around penalized least squares estimator. https://arxiv.org/abs/1403.4827

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