An adaptive Monte Carlo algorithm for computing mixed logit estimators

DOI10.1007/S10287-005-0044-YMaRDI QIDQ926315zbMATH OpenOpenAlexWikidataFDO

Authors Fabian Bastin, Cinzia Cirillo, Philippe L. Toint

Publication date 27 May 2008

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-005-0044-y

zbMATH Keywords

trust-region algorithmsmixed logit modelsmaximum simulated likelihood estimationMonte Carlo samplings

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Consumer behavior, demand theory (91B42)

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(26)

• An adaptive local reduced basis method for solving PDEs with uncertain inputs and evaluating risk
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• Penalty variable sample size method for solving optimization problems with equality constraints in a form of mathematical expectation
• A bootstrap-based minimum bias maximum simulated likelihood estimator of mixed logit
• Nonmonotone line search methods with variable sample size
• Variable sample size method for equality constrained optimization problems
• Stochastic derivative-free optimization using a trust region framework
• A Monte Carlo study of design-generating algorithms for the latent class mixed logit model
• Approximations of choice probabilities in mixed logit models
• Inexact restoration approach for minimization with inexact evaluation of the objective function
• Optimality functions in stochastic programming
• AMLET
• An adaptive sampling augmented Lagrangian method for stochastic optimization with deterministic constraints
• A retrospective trust-region method for unconstrained optimization
• On the employment of inexact restoration for the minimization of functions whose evaluation is subject to errors
• Spectral projected gradient method for stochastic optimization
• AN-SPS: adaptive sample size nonmonotone line search spectral projected subgradient method for convex constrained optimization problems
• Iteratively sampling scheme for stochastic optimization with variable number sample path
• On sample size control in sample average approximations for solving smooth stochastic programs
• Convergence theory for nonconvex stochastic programming with an application to mixed logit
• Sample size selection in optimization methods for machine learning
• Implementing quasi-Monte Carlo simulations with linear transformations
• Fast computation algorithm for the random consideration set model
• Inexact restoration with subsampled trust-region methods for finite-sum minimization
• ASTRO-DF: a class of adaptive sampling trust-region algorithms for derivative-free stochastic optimization

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