Huber approximation for the non-linear ℓ1 problem
Date
2006
Authors
Advisor
Instructor
Source Title
European Journal of Operational Research
Print ISSN
0377-2217
Electronic ISSN
Publisher
Elsevier
Volume
169
Issue
3
Pages
1096 - 1107
Language
English
Type
Conference Paper
Journal Title
Journal ISSN
Volume Title
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.
Course
Other identifiers
Book Title
Keywords
Nonlinear programming, Non-differentiable optimization, Smoothing algorithms, Huber M-estimator