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- 2018
拟牛顿修正法解算不等式约束加权总体最小二乘问题
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Abstract:
根据总体最小二乘准则，可以将附有不等式约束的变量误差（errors-in-variables，EIV）模型转化为标准最优化问题，并运用有效集法、序列二次规划法等优化方法求解。已有算法在涉及计算目标函数的Hesse矩阵（二阶导数）时，存在计算量较大的缺陷。针对上述问题，利用基于拟牛顿法修正Hesse矩阵的序列二次规划算法解算附有不等式约束加权总体最小二乘问题，新算法减小了计算量，可以提高收敛速度。通过实例，证明了该算法具有很好的适用性和计算效率
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