Loading Events

Mathieu GERBER (Bristol University) ” A Global Stochastic Optimization Particle Filter Algorithm”

July 7 @ 2:45 pm - 3:30 pm

Statistical Seminar: 
Time: 2:45 pm -3.30pm
Date: 07th of July 2022
Place: Room 3001

Mathieu GERBER (Bristol University) ” A Global Stochastic Optimization Particle Filter Algorithm”

Abstract:We introduce a new online algorithm for expected log-likelihood maximization in situations where the objective function is multi-modal and/or has saddle points, that we term G-PFSO. The key element underpinning G-PFSO is a probability distribution which (a) is shown to concentrate on the target parameter value as the sample size increases and (b) can be efficiently estimated by means of a standard particle filter algorithm. This distribution depends on a learning rate, where the faster the learning rate the quicker it concentrates on the desired element of the search space, but the less likely G-PFSO is to escape from a local optimum of the objective function. In order to achieve a fast convergence rate with a slow learning rate, G-PFSO exploits the acceleration property of averaging, well-known in the stochastic gradient literature. Considering several challenging estimation problems, the numerical experiments show that, with high probability, G-PFSO successfully finds the highest mode of the objective function and converges to its global maximizer at the optimal rate. While the focus of this work is expected log-likelihood
maximization, the proposed methodology and its theory apply more generally for optimizing a function defined through an expectation.

Joint work : Randal Douc

Organizers:
Cristina BUTUCEA (CREST), Alexandre TSYBAKOV (CREST), Karim LOUNICI (CMAP) , Jaouad MOURTADA (CREST)
Sponsors:
CREST-CMAP