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arXiv · 2010.04133

A User-Friendly Computational Framework for Robust Structured Regression with the L$_2$ Criterion

Jocelyn T. Chi·Eric C. Chi
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Abstract

We introduce a user-friendly computational framework for implementing robust versions of a wide variety of structured regression methods with the L$_{2}$ criterion. In addition to introducing an algorithm for performing L$_{2}$E regression, our framework enables robust regression with the L$_{2}$ criterion for additional structural constraints, works without requiring complex tuning procedures on the precision parameter, can be used to identify heterogeneous subpopulations, and can incorporate readily available non-robust structured regression solvers. We provide convergence guarantees for the framework and demonstrate its flexibility with some examples. Supplementary materials for this article are available online.

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BibTeXRIS

Jocelyn T. Chi, Eric C. Chi. 2020-10-08. A User-Friendly Computational Framework for Robust Structured Regression with the L$_2$ Criterion. https://arxiv.org/abs/2010.04133

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