Linear huber M-estimator under ellipsoidal data uncertainty
Date
2002
Authors
Pınar, M. Ç.
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
Source Title
BIT Numerical Mathematics
Print ISSN
0006-3835
Electronic ISSN
Publisher
Springer
Volume
42
Issue
4
Pages
856 - 866
Language
English
Type
Journal Title
Journal ISSN
Volume Title
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Abstract
The purpose of this note is to present a robust counterpart of the Huber estimation problem in the sense of Ben-Tal and Nemirovski when the data elements are subject to ellipsoidal uncertainty. The robust counterparts are polynomially solvable second-order cone programs with the strong duality property. We illustrate the effectiveness of the robust counterpart approach on a numerical example.