Les modèles non linéaires à effets mixtes - Isped

A Simulated Annealing version of SAEM
Conditional distribution of φ:
Temperature parameter T :
p Φ|Y ( φ |y; θ) = C(y; θ)e −U(φ,y;θ)
p (T )
Φ|Y ( φ |y; θ) = C T (y; θ)e − U(φ,y;θ)
T
Choose a decreasing Temperature sequence (T k ) that converges to 1.
Then, at iteration k of SAEM,
Simulation: draw the non observed data φ k with the conditional
distribution p (T k)
Φ|Y ( · |y; θ k−1)
Sminaire ”Statistique et Sant Publique”, Bordeaux - 8 novembre 2005, p.28