On Newton's method for Huber's robust M-estimation problems in linear regression

The Newton method of Madsen and Nielsen (1990) for computing Huber's robust M-estimate in linear regression is considered. The original method was proved to converge finitely for full rank problems under some additional restrictions on the choice of the search direction and the step length in some degenerate cases. It was later observed that these requirements can be relaxed in a practical implementation while preserving the effectiveness and even improving the efficiency of the method. In the present paper these enhancements to the original algorthm are studied and the finite termination property of the algorithm is proved without any assumptions on the M-estimation problems. Research supported by NATO Collaborative Research Grant CRG-94-0609.