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Gauss–Newton Methods for Robust Parameter Estimation

  • Tanja Binder
  • Ekaterina Kostina
Chapter
Part of the Contributions in Mathematical and Computational Sciences book series (CMCS, volume 4)

Abstract

In this paper we treat robust parameter estimation procedures for problems constrained by differential equations. Our focus is on the l 1 norm estimator and Huber’s M-estimator. Both of the estimators are briefly characterized and the corresponding optimality conditions are given. We describe the solution of the resulting minimization problems using the Gauss–Newton method and present local convergence results for both nonlinear constrained l 1 norm and Huber optimization. An approach for the efficient solution of the linearized problems of the Gauss–Newton iterations is also sketched as well as globalization strategies using line search methods. Two numerical examples are exercised to demonstrate the superiority of the two presented robust estimators over standard least squares estimation in case of outliers in the measurement data.

Keywords

Newton Method Constraint Qualification Complementarity Condition Stationarity Condition Strict Complementarity 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Notes

Acknowledgements

This research was supported by the German Federal Ministry for Education and Research (BMBF) through the Programme “Mathematics for Innovations in Industry and Public Services”, as well as by the LOEWE Center for Synthetic Microbiology (SYNMIKRO).

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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  1. 1.Department of Mathematics and Computer ScienceUniversity of MarburgMarburgGermany

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