Linear Huber M-Estimator Under Ellipsoidal Data Uncertainty |
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Authors: | M Ç Pinar |
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Institution: | (1) Department of Industrial Engineering, Bilkent University, 06533 Ankara, Turkey |
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Abstract: | The purpose of this note is to present a robust counterpart of the Huber estimation problem in the sense of Ben-Tal and Nemirovski when the data elements are subject to ellipsoidal uncertainty. The robust counterparts are polynomially solvable second-order cone programs with the strong duality property. We illustrate the effectiveness of the robust counterpart approach on a numerical example. |
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Keywords: | Data fitting least squares problems robustness Huber's M-estimator second-order cone programming |
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