Researchers and analysts are increasingly using mixed logit models for estimating responses to forecast demand and to determine
the factors that affect individual choices. However the numerical cost associated to their evaluation can be prohibitive,
the inherent probability choices being represented by multidimensional integrals. This cost remains high even if Monte Carlo
or quasi-Monte Carlo techniques are used to estimate those integrals. This paper describes a new algorithm that uses Monte
Carlo approximations in the context of modern trust-region techniques, but also exploits accuracy and bias estimators to considerably
increase its computational efficiency. Numerical experiments underline the importance of the choice of an appropriate optimisation
technique and indicate that the proposed algorithm allows substantial gains in time while delivering more information to the
practitioner.
Keywords: Maximum simulated likelihood estimation - Trust-region
algorithms - Monte Carlo samplings - Mixed logit models
Fabian Bastin: Research Fellow of the National Fund for Scientific Research (FNRS)