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

DOI10.1016/J.MATCOM.2015.09.003MaRDI QIDQ2229034zbMATH OpenOpenAlexFDO

Authors Daoud Ounaissi, Nadji Rahmania, 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

Gibbs measuresLassoMetropolis-Hasting algorithmpenalized least squaressimulated annealing algorithm

Mathematics Subject Classification ID

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

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Cites work

• A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
• Adaptive proposal distribution for random walk Metropolis algorithm
• Atomic Decomposition by Basis Pursuit
• Bayesian computation and stochastic systems. With comments and reply.
• Equation of state calculations by fast computing machines
• Gibbs measures asymptotics
• scientific article; zbMATH DE number 472922 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Laplace's method revisited: Weak convergence of probability measures
• Least angle regression. (With discussion)
• Monte Carlo sampling methods using Markov chains and their applications
• Necessary and sufficient conditions for linear convergence of ^1-regularization
• The Lasso problem and uniqueness
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(2)

• Bayesian Lasso: concentration and MCMC diagnosis
• Multilevel Monte Carlo simulation of Bayesian Lasso

Describes a project that uses

Uses Software

• PDCO

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