@MISC{Train99haltonsequences, author = {By Kenneth Train}, title = {Halton Sequences for Mixed Logit}, year = {1999} }

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Abstract

: The simulation variance in the estimation of mixed logit parameters is found, in our application, to be lower with 100 Halton draws than with 1000 random draws. This finding confirms Bhat's (1999a) results and implies significant reduction in run times for mixed logit estimation. Further investigation is needed to assure that the result is not quixotic or masking other issues. I. Introduction Choice probabilities in mixed logit models take the form of a multidimensional integral over a mixing distribution (see, e.g., Brownstone and Train, 1999). The integral does not have a closed form in general, and so it must be evaluated numerically. In applications, the integral has been approximated though simulation using random draws from the mixing distribution. A large number of draws is usually needed to assure reasonably low simulation error in the estimated parameters. The large number of draws translates into long computer run-times. Estimation can require 2-3 hours for moderately siz...