Fundamentals of cone regression
From MaRDI portal
Publication:289730
DOI10.1214/16-SS114zbMATH Open1384.62134arXiv1507.06496MaRDI QIDQ289730FDOQ289730
Authors: Mariella Dimiccoli 
Publication date: 31 May 2016
Published in: Statistics Surveys (Search for Journal in Brave)
Abstract: Cone regression is a particular case of quadratic programming that minimizes a weighted sum of squared residuals under a set of linear inequality constraints. Several important statistical problems such as isotonic, concave regression or ANOVA under partial orderings, just to name a few, can be considered as particular instances of the cone regression problem. Given its relevance in Statistics, this paper aims to address the fundamentals of cone regression from a theoretical and practical point of view. Several formulations of the cone regression problem are considered and, focusing on the particular case of concave regression as example, several algorithms are analyzed and compared both qualitatively and quantitatively through numerical simulations. Several improvements to enhance numerical stability and bound the computational cost are proposed. For each analyzed algorithm, the pseudo-code and its corresponding code in Scilab are provided. The results from this study demonstrate that the choice of the optimization approach strongly impacts the numerical performances. It is also shown that methods are not currently available to solve efficiently cone regression problems with large dimension (more than many thousands of points). We suggest further research to fill this gap by exploiting and adapting classical multi-scale strategy to compute an approximate solution.
Full work available at URL: https://arxiv.org/abs/1507.06496
Recommendations
- scientific article; zbMATH DE number 4100438
- scientific article; zbMATH DE number 3850449
- Semi-parametric additive constrained regression
- A dual active set algorithm for optimal sparse convex regression
- An extension of the mixed primal-dual bases algorithm to the case of more constraints than dimensions
Nonparametric regression and quantile regression (62G08) Analysis of variance and covariance (ANOVA) (62J10) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
Cites Work
- A Simple New Algorithm for Quadratic Programming with Applications in Statistics
- A new polynomial-time algorithm for linear programming
- An extension of the mixed primal-dual bases algorithm to the case of more constraints than dimensions
- On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators
- Title not available (Why is that?)
- Title not available (Why is that?)
- Convex Analysis
- Multiplier and gradient methods
- Proximal splitting methods in signal processing
- Title not available (Why is that?)
- Title not available (Why is that?)
- Representation theorem for convex nonparametric least squares
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Point Estimates of Ordinates of Concave Functions
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- An Algorithm for Restricted Least Squares Regression
- Title not available (Why is that?)
- The Nonparametric Approach to Production Analysis
- A cyclic projection algorithm via duality
- On the convergence of Han's method for convex programming with quadratic objective
- A successive projection method
- A globally convergent primal-dual active-set framework for large-scale convex quadratic optimization
- How good are projection methods for convex feasibility problems?
- Interior-point methods for linear programming: a review
- Kernel Least-Squares Models Using Updates of the Pseudoinverse
- Decomposition through formalization in a product space
- A critical index algorithm for nearest point problems on simplicial cones
- Note—A Note on Least Squares Fitting of Functions Constrained to be Either Nonnegative, Nondecreasing or Convex
- A Nearest Point Algorithm for Convex Polyhedral Cones and Applications to Positive Linear Approximation.
- Technical Note—On the Estimation of Convex Functions
- On the effectiveness of projection methods for convex feasibility problems with linear inequality constraints
- A Convergence Analysis of Dykstra's Algorithm for Polyhedral Sets
- Finding projections onto the intersection of convex sets in hilbert spaces
- An active index algorithm for the nearest point problem in a polyhedral cone
- Title not available (Why is that?)
- Recursive least squares with linear constraints
Cited In (2)
Uses Software
This page was built for publication: Fundamentals of cone regression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q289730)
