Huber approximation for the non-linear ℓ1 problem

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Huber_approximation_for_the_non-linear_ℓ1_problem.pdf (204.48 KB)

Date

2006

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Abstract

The smooth Huber approximation to the non-linear ℓ1 problem was proposed by Tishler and Zang (1982), and further developed in Yang (1995). In the present paper, we use the ideas of Gould (1989) to give a new algorithm with rate of convergence results for the smooth Huber approximation. Results of computational tests are reported.

Source Title

European Journal of Operational Research

Publisher

Elsevier

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Keywords

Nonlinear programming, Non-differentiable optimization, Smoothing algorithms, Huber M-estimator

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http://hdl.handle.net/11693/27253

Published Version (Please cite this version)

http://dx.doi.org/10.1016/j.ejor.2004.10.029

Collections

Scholarly Publications - Industrial Engineering

Language

English

Type

Conference Paper