6533b83afe1ef96bd12a7a44
RESEARCH PRODUCT
Some properties of [tr(Q2p)]12p with application to linear minimax estimation
P. StahleckerJ. Lauterbachsubject
Discrete mathematicsNumerical AnalysisAlgebra and Number TheoryMinimization problemLinear modelMathematics::Optimization and ControlMinimaxMinimax approximation algorithmMatrix (mathematics)Discrete Mathematics and CombinatoricsGeometry and TopologyMinimax estimatorDescent algorithmEigenvalues and eigenvectorsMathematicsdescription
Abstract A nondifferentiable minimization problem is considered which occurs in linear minimax estimation. This problem is solved by replacing the nondifferentiable maximal eigenvalue of a real nonnegative definite matrix Q with [tr( Q 2 p )] 1/2 p . It is shown that any descent algorithm with inexact step-length rule can be used to obtain linear minimax estimators for the parameter vector of a parameter-restricted linear model.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1990-01-01 | Linear Algebra and its Applications |