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HUBER'S M-ESTIMATOR ON UNDERDETERMINED PROBLEMS

Wang Jia-song and Tang Sheng-rong
Journal of Computational Mathematics
Vol. 13, No. 2 (APRIL 1995), pp. 130-143
Stable URL: http://www.jstor.org/stable/43692610
Page Count: 14
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HUBER'S M-ESTIMATOR ON UNDERDETERMINED PROBLEMS
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Abstract

After surveying the theoretical aspects of Huber's M-estimator on underdetermined problems, two finite algorithms are presented. Both proceed in a constructive manner by moving from one partition to an adjacent one. One of the algorithm, which uses the tuning constant as a continuation parameter, also has the facility to simultaneously estimate the tuning constant and scaling factor. Stable and efficient implementation of the algorithms is presented together with numerical results. The L₁-norm problem is mentioned as a special case.

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