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Abstract

In this paper we focus on the application of global stochastic optimization methods to extremum estimators. We propose a general stochastic method the master method which includes several stochastic optimization algorithms as a particular case. The proposed method is sufficiently general to include the Solis-Wets method, the improving hit-and-run algorithm, and a stochastic version of the zigzag algorithm. A matrix formulation of the master method is presented and some specific results are given for the stochastic zigzag algorithm. Convergence of the proposed method is established under a mild set of conditions, and a simple regression model is used to illustrate the method. (C) 2011 Elsevier B.V. All rights reserved.

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