Optimization techniques for multivariate least trimmed absolute deviation estimation

DOI10.1007/S10878-017-0109-1zbMATH Open1381.90078arXiv1511.04220OpenAlexW2963354127MaRDI QIDQ1680490FDOQ1680490

Authors: George Zioutas, Chris Chatzinakos, Tri-Dung Nguyen, Leonidas Pitsoulis 

Publication date: 16 November 2017

Published in: Journal of Combinatorial Optimization (Search for Journal in Brave)

Abstract: Given a dataset an outlier can be defined as an observation that it is unlikely to follow the statistical properties of the majority of the data. Computation of the location estimate of is fundamental in data analysis, and it is well known in statistics that classical methods, such as taking the sample average, can be greatly affected by the presence of outliers in the data. Using the median instead of the mean can partially resolve this issue but not completely. For the univariate case, a robust version of the median is the Least Trimmed Absolute Deviation (LTAD) robust estimator introduced in~cite{Tableman1994}, which has desirable asymptotic properties such as robustness, consistently, high breakdown and normality. There are different generalizations of the LTAD for multivariate data, depending on the choice of norm. In~cite{ChaPitZiou:2015} we present such a generalization using the Euclidean norm and propose a solution technique for the resulting combinatorial optimization problem, based on a necessary condition, that results in a highly convergent local search algorithm. In this subsequent work we use the $L^1$ norm to generalize the LTAD to higher dimensions, and show that the resulting mixed integer programming problem has an integral relaxation, after applying an appropriate data transformation. Moreover, we utilize the structure of the problem to show that the resulting LP's can be solved efficiently using a subgradient optimization approach. The robust statistical properties of the proposed estimator are verified by extensive computational results.

Full work available at URL: https://arxiv.org/abs/1511.04220

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zbMATH Keywords

outlier detectionlinear programmingmixed integer programmingleast trimmed absolute deviationrobust location estimation

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Combinatorial optimization (90C27) Mixed integer programming (90C11)

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Cited In (3)

• A statistical multivariable optimization method using improved orthogonal algorithm based on large data
• Optimization techniques for robust multivariate location and scatter estimation
• Title not available (Why is that?)

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