Linear Huber M-Estimator under Ellipsoidal Data Uncertainty
Mustafa C. Pinar (mustafapbilkent.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.
Entry Submitted: 05/31/2002
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