Global Optimization Decomposition Methods for Bounded Parameter Minimax Risk Evaluation

DOI10.1137/0915002MaRDI QIDQ4287918zbMATH OpenOpenAlexFDO

Authors Eric Gourdin, Brigitte Jaumard, 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

decompositionglobal optimizationminimax estimatorbounded parameterlinear minimax riskdiscrete least favorable priorIbragimov-Hasminskii constantmultivariate Lipschitz optimization

Mathematics Subject Classification ID

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

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• Stochastic perturbation of reduced gradient \& GRG methods for nonconvex programming problems
• Finding GM-estimators with global optimization techniques

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