Author

M. Seo

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Preprint Sep 2026

A Stochastic Nested Fixed Point Algorithm for Large-Scale BLP Estimation

We develop a stochastic nested fixed point (SNFP) estimator for random coefficients logit demand models that updates model parameters using stochastic gradients and performs demand inversion one market at a time. Relative to the conventional nested fixed point (NFP) estimator, SNFP substantially reduces memory requirem...

Zhentong Lu, M. Seo, Youngki Shin et al. · 0 citations

Preprint Aug 2026

SAUSS: Stochastic Approximation with Unbiased Simulated Scores for Limited Dependent Variable Models

Multinomial choice models allow flexible substitution patterns but become computationally demanding with many alternatives or observations. With a fixed per-observation simulation budget, simulated maximum likelihood introduces simulation bias, while each optimization step requires a full-sample likelihood evaluation....

S. Lee, Yuan Liao, M. Seo et al. · 0 citations