Robust Regression Computation Using Iteratively Reweighted Least Squares

DOI10.1137/0611032MaRDI QIDQ3484265zbMATH OpenOpenAlexFDO

Authors Dianne P. O'Leary

Publication date 1990

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0611032

zbMATH Keywords

estimatesill-posed problemiteratively reweighted least squares criterionlinear modellinear systemNewton's methodperformancesresidual vectorsrobust regressionsolution vectorssparse matrices

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99) Numerical solutions to overdetermined systems, pseudoinverses (65F20)

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(12)

• Fast robust regression algorithms for problems with Toeplitz structure
• Iteratively reweighted least squares: A comparison of several single step algorithms for linear models
• Symbiosis between linear algebra and optimization
• Robust regression for mixed Poisson-Gaussian model
• Weiszfeld's method: old and new results
• scientific article; zbMATH DE number 3885116 (Why is no real title available?)
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• Large-Scale Scientific Computing
• Nonlinear Complex-Valued Extensions of Hebbian Learning: An Essay
• R-estimation in linear models: algorithms, complexity, challenges
• Computation of Huber's \(M\)-estimates for a block-angular regression problem

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