An Algorithm for Positive Definite Least Square Estimation of Parameters.
STANFORD UNIV CA SYSTEMS OPTIMIZATION LAB
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This document presents an algorithm for positive definite least square estimation of parameters. This estimation problem arises from the PILOT dynamic macro-economic model and is equivalent to an infinite convex quadratic program. It differs from ordinary least square estimations in that the fitting matrix is required to be positive definite. The algorithm solves the infinite convex quadratic program by generating and solving a sequence of ordinary convex quadratic programs. By specifying a constant, the algorithm will find an approximate optimal solution in the limit. The algorithm is generalized to solve a class of infinite convex programs. Author
- Statistics and Probability