An Algorithm for a Least Absolute Value Regression Problem with Bounds on the Parameters.
TEXAS UNIV AT AUSTIN CENTER FOR CYBERNETIC STUDIES
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This paper presents a special purpose linear programming algorithm to solve a least absolute value regression problem with upper and lower bounds on the parameters. The algorithm exploits the problems special structure by maintaining a compact representation of the basis inverse and by allowing for the capability to combine several simplex iterations into one. Computational results with a computer code implementation of the algorithm is given. Author
- Statistics and Probability