Global Optimization Decomposition Methods for Bounded Parameter Minimax Risk Evaluation

DOI10.1137/0915002zbMath0798.65136OpenAlexW2084926772MaRDI QIDQ4287918

Brigitte Jaumard, Eric Gourdin, K. Brenda MacGibbon

Publication date: 30 October 1994

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0915002

zbMATH Keywords

global optimizationdecompositionminimax estimatorbounded parameterlinear minimax riskdiscrete least favorable priorIbragimov-Hasminskii constantmultivariate Lipschitz optimization

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Point estimation (62F10) Numerical mathematical programming methods (65K05) Nonconvex programming, global optimization (90C26) Probabilistic methods, stochastic differential equations (65C99)

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Stochastic perturbation of reduced gradient \& GRG methods for nonconvex programming problems

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