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Linear M-estimation with bounded variables

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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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  1. Department of Mathematics, Luleå University of Technology, S-97187, Luleå, Sweden

    Ove Edlund

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  1. Ove Edlund
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Edlund, O. Linear M-estimation with bounded variables. Bit Numer Math 37, 13–23 (1997). https://doi.org/10.1007/BF02510169

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  • DOI: https://doi.org/10.1007/BF02510169

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