Global optimization of statistical functions with simulated annealing
- 1 January 1994
- journal article
- Published by Elsevier BV in Journal of Econometrics
- Vol. 60 (1-2), 65-99
- https://doi.org/10.1016/0304-4076(94)90038-8
Abstract
Many statistical methods rely on numerical optimization to estimate a model's parameters. Unfortunately, conventional algorithms sometimes fail. Even when they do converge, there is no assurance that they have found the global, rather than a local, optimum. We test a new optimization algorithm, simulated annealing, on four econometric problems and compare it to three common conventional algorithms. Not only can simulated annealing find the global optimum, it is also less likely to fail on difficult functions because it is a very robust algorithm. The promise of simulated annealing is demonstrated on the four econometric problems.Keywords
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