A robust optimization approach to statistical estimation problems by Apostolos G. Fertis.

[摘要] (cont.) We report on the out-of-sample performance of the robust, as well as the nominal estimators in both computer generated and real data sets, and conclude that the robust estimators achieve a higher success rate. (b) We develop a robust maximum likelihood estimator for the multivariate normal distribution by considering uncertainty sets for the data used to produce it. We develop an efficient first order gradient descent method to compute the estimate and compare the efficiency of the robust estimate to the respective nominal one in computer generated data.

[发布机构] Massachusetts Institute of Technology