SNM: Stochastic Newton Method for Optimization of Discrete Choice Models

Optimization algorithms are rarely mentioned in the discrete choice literature. One reason may be that classic Newton-Raphson methods have been rather successful in estimating discrete choice parameters on available data sets of limited size. However, thanks to recent advances in data collection, abundant data about choice situations become more and more available, and state-of-the-art algorithms can be computationally burdensome on these massive datasets. In this paper, inspired by the good practices from the machine learning field, we introduce a Stochastic Newton Method (SNM) for the estimation of discrete choice models parameters. Our preliminary results indicate that our method outperforms (stochastic) first-order and quasi-newton methods.