Abstract
The purpose of this note is to present a robust counterpart of the Huber estimation problem in the sense of Ben-Tal and Nemirovski when the data elements are subject to ellipsoidal uncertainty. The robust counterparts are polynomially solvable second-order cone programs with the strong duality property. We illustrate the effectiveness of the robust counterpart approach on a numerical example.
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Pinar, M.Ç. Linear Huber M-Estimator Under Ellipsoidal Data Uncertainty. BIT Numerical Mathematics 42, 856–866 (2002). https://doi.org/10.1023/A:1021960722440
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DOI: https://doi.org/10.1023/A:1021960722440