Title of article
Incorporating scatter search and threshold accepting in finding maximum likelihood estimates for the multinomial probit model
Author/Authors
Yu-Hsin Liu، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2011
Pages
9
From page
130
To page
138
Abstract
This paper presents a procedure that incorporates scatter search and threshold accepting to find the maximum likelihood estimates for the multinomial probit (MNP) model. Scatter search, widely used in optimization-related studies, is a type of evolutionary algorithm that uses a small set of solutions as the selection pool for mating and generating new solutions to search for a globally optimal solution. Threshold accepting is applied to the scatter search to improve computational efficiency while maintaining the same level of solution quality. A set of numerical experiments, based on synthetic data sets with known model specifications and error structures, were conducted to test the effectiveness and efficiency of the proposed framework. The results indicated that the proposed procedure enhanced performance in terms of likelihood function value and computational efficiency for MNP model estimation as compared to the original scatter search framework.
Keywords
scatter search , Threshold accepting , Multinomial probit , maximum likelihood estimation
Journal title
European Journal of Operational Research
Serial Year
2011
Journal title
European Journal of Operational Research
Record number
1313172
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