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Optimization Heuristics in Econometrics : Applications of Threshold Accepting

ISBN: 978-0-471-85631-3
358 pages
December 2000
Optimization Heuristics in Econometrics : Applications of Threshold Accepting (0471856312) cover image

Description

Many problems in statistics and econometrics offer themselves naturally to the use of optimization heuristics. Standard methods applied to highly complex problems often produce approximate results, of unknown quality, based on heavy assumptions. Optimization heuristic methods provide powerful results to many complex problems, combined with relatively simple implementation. The techniques used in optimization heurisitics can be applied to problems encountered in econometrics, statistics and operations research.
* Offers a self-contained introduction to optimization heuristics in econometrics and statistics
* Features many examples of optimization heuristic methods applied to real problems
* Includes detailed coverage of the threshold accepting heuristic methods applied to real problems
* Provides suggestions for further reading
Split into three parts, the book opens with a general introduction to optimization in statistics and econometrics, followed by detailed discussion of a relatively new and very powerful optimization heuristic, threshold accepting. The final part consists of many applications of the methods described earlier, encompassing experimental design, model selection, aggregation of time series, and censored quantile regression models.
Those researching and working in econometrics, statistics and operations research are given the tools to apply optimization heuristic methods to real problems in their work. Postgraduate students of statistics and econometrics will find the book provides a good introduction to optimization heuristic methods.
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Table of Contents

Preface.

Introduction.

OPTIMIZATION IN STATISTICS AND ECONOMETRICS.

Optimization in Economics.

Optimization in Statistics and Econometrics.

The Heuristic Optimization Paradigm.

HEURISTIC OPTIMIZATION: THRESHOLD ACCEPTING.

Optimization Methods.

The Global Optimization Heuristic Threshold Accepting.

Relative Performance of Threshold Accepting.

Tuning of Threshold Accepting.

A Practical Guide to the Implementation of Threshold Accepting.

APPLICATIONS IN STATISTICS AND ECONOMETRICS.

Introduction.

Experimental Design.

Identification of Multivariate Lag Structures.

Optimal Aggregation.

Censored Quantile Regression.

Continuous Global Optimization.

CONCLUSION AND OUTLOOK.

Conclusion.

Outlook for Further Research.

References.

List of Symbols.

Author Index.

Subject Index.
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Reviews

"For statisticians and econometricians with a general interest in new optimization paradigms, Winker...introduces optimization heuristics for application..." (Reference Research Book News, Vol. 16, No. 3, August 2001)

"...a very fine textbook ... does an excellent job of motivating ones . interests in optimization heuristics." (Technometrics, Vol. 43, No. 4, November 2001)

"a text that comprehensively addresses this 'art' is to be congratulated..." (Short Book Reviews, August 2002) 

..."The book is recommend ... the postgraduate students the book provides a valuable introduction to optimization heuristics." (Zentralblatt MATH, Vol.1001, No.01, 2003)

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