Les modèles non linéaires à effets mixtes - Isped

The SAEM algorithm (Stochastic Approximation of EM)
Delyon, Lavielle and Moulines (1999)
Iteration k of the algorithm:
draw the non observed data φ k with the conditional distribution
p Φ|Y ( · |y; θ k−1 ).
Stochastic approximation
Q k (θ) = Q k−1 (θ) + γ k [log f(y, φ k ; θ) − Q k−1 (θ)]
where (γ k ) is a decreasing sequence such that ∑ γ k = +∞ and
∑ γ
2
k
< +∞ .
Sminaire ”Statistique et Sant Publique”, Bordeaux - 8 novembre 2005, p.26