Linear M-estimation with bounded variables |
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Authors: | Ove Edlund |
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Institution: | 1. Department of Mathematics, Lule? University of Technology, S-97187, Lule?, Sweden
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Abstract: | 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 anL
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. |
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Keywords: | 62J05 65U05 65D10 62F35 |
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