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Linear Huber M-Estimator under Ellipsoidal Data Uncertainty

Mustafa C. Pinar (mustafap***at***bilkent.edu.tr)

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.

Keywords: Data fitting, Least squares problems, Robustness, Huber's M-Estimator, Second-order cone programming

Category 1: Robust Optimization

Category 2: Linear, Cone and Semidefinite Programming (Second-Order Cone Programming )

Citation: BIT Numerical Mathematics, 42(4), December 2002, pp. 856-866, forthcoming.

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Entry Submitted: 05/31/2002
Entry Accepted: 05/31/2002
Entry Last Modified: 09/17/2002

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