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- Edlund, Ove
(författare)
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Linear M-estimation with bounded variables
- 1997
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Ingår i: BIT Numerical Mathematics. - 0006-3835 .- 1572-9125. ; 37:1, s. 13-23
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Tidskriftsartikel (refereegranskat)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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