Linear M-estimation with bounded variables

被引：4
|
作者：
Edlund, O [1 ]
机构：
[1] LULEA UNIV TECHNOL,DEPT MATH,S-97187 LULEA,SWEDEN
来源：
BIT | 1997年 / 37卷 / 01期
关键词：
linear regression; M-estimators; robust regression; bounded variables;
D O I：
10.1007/BF02510169
中图分类号：
TP31 [计算机软件];
学科分类号：
081202 ; 0835 ;
摘要：
A subproblem in the trust region algorithm for non-linear M-estimation by Ekblom and Madsen is to find the restricted step. It is found by calculating the M-estimator of the linearized model, subject to an L(2)-norm bound on the variables. In this paper it is shown that this subproblem can be solved by applying Hebden-iterations to the minimizer of the Lagrangian function. The new method is compared with an Augmented Lagrange implementation.
引用
收藏
页码：13 / 23
页数：11
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