Global optimization of statistical functions with simulated annealing.

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, s...

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Bibliographic Details

Published in:	Journal of Econometrics Vol. 60; pp. 65 - 100
Main Authors:	Goffe, William L., Ferrier, Gary D., Rogers, John
Format:	Article
Published:	Elsevier Science January/February 1994
Subjects:	Algorithms Estimation theory Mathematical optimization
Online Access:	View this record in EBSCOhost