Oscillation of metropolis-Hastings and simulated annealing algorithms around LASSO estimator

DOI10.1016/j.matcom.2015.09.003OpenAlexW1663421669MaRDI QIDQ2229034

Nadji Rahmania, Daoud Ounaissi, Azzouz Dermoune

Publication date: 19 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2015.09.003

zbMATH Keywords

simulated annealing algorithmGibbs measuresLassopenalized least squaresMetropolis-Hasting algorithm

Mathematics Subject Classification ID

Statistics (62-XX) Computer science (68-XX)

Related Items (1)

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Uses Software

• PDCO

Cites Work

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• Least angle regression. (With discussion)
• The Lasso problem and uniqueness
• Gibbs measures asymptotics
• Necessary and sufficient conditions for linear convergence of ℓ1-regularization
• Atomic Decomposition by Basis Pursuit
• Equation of State Calculations by Fast Computing Machines
• Monte Carlo sampling methods using Markov chains and their applications

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