Adaptive algorithms and stochastic approximations
Adaptive algorithms and stochastic approximations
Comparing sweep strategies for stochastic relaxation
Journal of Multivariate Analysis
Metropolis-type annealing algorithms for global optimization in Rd
SIAM Journal on Control and Optimization
Maximum likelihood estimation in nonlinear mixed effects models
Computational Statistics & Data Analysis
Simulated annealing algorithm with adaptive neighborhood
Applied Soft Computing
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The Expectation–Maximization (EM) algorithm is a very popular technique for maximum likelihood estimation in incomplete data models. When the expectation step cannot be performed in closed form, a stochastic approximation of EM (SAEM) can be used. Under very general conditions, the authors have shown that the attractive stationary points of the SAEM algorithm correspond to the global and local maxima of the observed likelihood. In order to avoid convergence towards a local maxima, a simulated annealing version of SAEM is proposed. An illustrative application to the convolution model for estimating the coefficients of the filter is given.