On a Constrained Regression Problem and its Convex Optimisation Formulation
- Michał Przyłuski
We shall consider a constrained regression problem. A shape constraint is applied to a third-degree polynomial regression. We show that some of those problems might be formulated as a problem of finding a proper metric projection. They belong to a class of convex optimisation problems for which efficient solvers exist. A numerical example for a related problem arising in econometrics is given.
- Record ID
- Publication size in sheets
- Skolimowski Andrzej M. J. Andrzej M. J. Skolimowski (eds.): Proceedings of KICSS'2013, 2013, Kraków, Progress & Business Publishers, 671 p., ISBN 978-83-912831-8-9
- Keywords in English
- Convex optimisation, constrained regression, econometrics, total cost function
- (en) English
- File: 1
- paper37.pdprzyluski KICSS13.pdf
- Score (nominal)
- Uniform Resource Identifier
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