A more efficient algorithm for Convex Nonparametric Least Squares

Chia Yen Lee, Andrew L. Johnson, Erick Moreno-Centeno, Timo Kuosmanen

研究成果: Article同行評審

29 引文 斯高帕斯(Scopus)

摘要

Convex Nonparametric Least Squares (CNLSs) is a nonparametric regression method that does not require a priori specification of the functional form. The CNLS problem is solved by mathematical programming techniques; however, since the CNLS problem size grows quadratically as a function of the number of observations, standard quadratic programming (QP) and Nonlinear Programming (NLP) algorithms are inadequate for handling large samples, and the computational burdens become significant even for relatively small samples. This study proposes a generic algorithm that improves the computational performance in small samples and is able to solve problems that are currently unattainable. A Monte Carlo simulation is performed to evaluate the performance of six variants of the proposed algorithm. These experimental results indicate that the most effective variant can be identified given the sample size and the dimensionality. The computational benefits of the new algorithm are demonstrated by an empirical application that proved insurmountable for the standard QP and NLP algorithms.

原文English
頁(從 - 到)391-400
頁數10
期刊European Journal of Operational Research
227
發行號2
DOIs
出版狀態Published - 2013 六月 1

All Science Journal Classification (ASJC) codes

  • 電腦科學(全部)
  • 建模與模擬
  • 管理科學與經營研究
  • 資訊系統與管理

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