Proceedings ArticleDOI
Iterative solutions of min-max parameter estimation with bounded data uncertainties
Ali H. Sayed,Andrea Garulli,Shivkumar Chandrasekaran +2 more
- Vol. 5, pp 3561-3564
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TLDR
This paper establishes the existence of a fundamental contraction mapping and uses this observation to propose an approximate recursive algorithm that avoids the need for explicit SVDs and for the solution of the nonlinear equation.Abstract:
This paper deals with the important problem of parameter estimation in the presence of bounded data uncertainties. Its recent closed-form solution leads to more meaningful results than alternative methods (e.g., total least-squares and robust estimation), when a priori bounds about the uncertainties are available. The derivation requires the computation of the SVD of the data matrix and the determination of the unique positive root of a nonlinear equation. This paper establishes the existence of a fundamental contraction mapping and uses this observation to propose an approximate recursive algorithm that avoids the need for explicit SVDs and for the solution of the nonlinear equation. Simulation results are included to demonstrate the good performance of the recursive scheme.read more
References
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Optimization by Vector Space Methods
TL;DR: This book shows engineers how to use optimization theory to solve complex problems with a minimum of mathematics and unifies the large field of optimization with a few geometric principles.
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The Total Least Squares Problem: Computational Aspects and Analysis
TL;DR: This paper presents a meta-analyses of the relationships between total least squares estimation and classical linear regression in Multicollinearity problems and some of the properties of these relationships are explained.
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