A gradient descent method for estimating the Markov chain choice model

DOI10.1007/S40305-021-00365-6MaRDI QIDQ6097386zbMATH OpenOpenAlexFDO

Authors

Publication date 5 June 2023

Published in Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40305-021-00365-6

zbMATH Keywords

gradient descent methodMarkov chain choice modelparameter estimation

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Methods of reduced gradient type (90C52)

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• Technical note: An expectation-maximization algorithm to estimate the parameters of the Markov chain choice model
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• Maximum Likelihood Estimation of Probabilistic Choice Models

Cites work

• A finite algorithm for finding the projection of a point onto the canonical simplex of \({\mathbb R}^ n\)
• A Markov chain approximation to choice modeling
• Assortment optimization under variants of the nested logit model
• Convex programming in Hilbert space
• Dynamic assortment optimization with a multinomial logit choice model and capacity constraint
• Estimating primary demand for substitutable products from sales transaction data
• Global and Asymptotic Convergence Rate Estimates for a Class of Projected Gradient Processes
• On the Goldstein-Levitin-Polyak gradient projection method
• Projected gradient methods for linearly constrained problems
• Revenue management under the Markov chain choice model
• Technical note: An expectation-maximization algorithm to estimate the parameters of the Markov chain choice model
• Technical note: An expectation-maximization method to estimate a rank-based choice model of demand

Cited in

(1)

• On performance potentials and conditional Monte Carlo for gradient estimation for Markov chains

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