A Center Cutting Plane Algorithm for a Likelihood Estimate Problem

Authors:
Fernanda Raupp;Clóvis Gonzaga
Affiliations:
National Laboratory for Scientific Computing, RJ, Brazil. fernanda@lncc.br;Federal University of Santa Catarina, Florianópolis, SC, Brazil. clovis@mtm.ufsc.br
Venue:
Computational Optimization and Applications
Year:
2002

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Abstract

We describe a method for solving the maximum likelihood estimate problem of a mixing distribution, based on an interior cutting plane algorithm with cuts through analytic centers. From increasingly refined discretized statistical problem models we construct a sequence of inner non-linear problems and solve them approximately applying a primal-dual algorithm to the dual formulation. Refining the statistical problem is equivalent to adding cuts to the inner problems.