An Algorithm for Positive Definite Least Square Estimation of Parameters.

Abstract

This document presents an algorithm for positive definite least square estimation of parameters. This estimation problem arises from the PILOT dynamic macro-economic model and is equivalent to an infinite convex quadratic program. It differs from ordinary least square estimations in that the fitting matrix is required to be positive definite. The algorithm solves the infinite convex quadratic program by generating and solving a sequence of ordinary convex quadratic programs. By specifying a constant, the algorithm will find an approximate optimal solution in the limit. The algorithm is generalized to solve a class of infinite convex programs. (Author)

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Document Details

Document Type
Technical Report
Publication Date
May 01, 1986
Accession Number
ADA169655

Entities

People

  • Hui Hu

Organizations

  • Stanford University

Tags

Communities of Interest

  • Energy and Power Technologies

DTIC Thesaurus Topics

  • Algorithms
  • Computer Programming
  • Contracts
  • Convergence
  • Convex Sets
  • Economic Models
  • Eigenvalues
  • Eigenvectors
  • Heuristic Methods
  • Iterations
  • Operations Research
  • Optimization
  • Quadratic Programming
  • Sequences
  • Theorems
  • United States
  • United States Government

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis