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Minimax Regression with Bounded Noise

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2 Author(s)
Eldar, Y.C. ; Technion¿Israel Institute of Technology, Haifa, Israel. Email: yonina@ee.technion.ac.il ; Beck, A.

We consider the problem of estimating a vector z in the regression model b = Az + w where w is an unknown but bounded noise and an upper bound on the norm of z is available. To estimate z we propose a relaxation of the Chebyshev center, which is the vector that minimizes the worst-case estimation error over all feasible vectors z. Relying on recent results regarding strong duality of nonconvex quadratic optimization problems with two quadratic constraints, we prove that in the complex domain our approach leads to the exact Chebyshev center. In the real domain, this strategy results in a "pretty good" approximation of the true Chebyshev center. As we show, our estimate can be viewed as a Tikhonov regularization with a special choice of parameter that can be found efficiently. We then demonstrate via numerical examples that our estimator can outperform other conventional methods, such as least-squares and regularized least-squares, with respect to the estimation error.

Published in:

Electrical and Electronics Engineers in Israel, 2006 IEEE 24th Convention of

Date of Conference:

Nov. 2006

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