Fast and robust algorithm to compute exact polytope parameter bounds

S.H. Mo and J.P. Norton

Mathematics and Computers in Simulation (MATCOM), 1990, vol. 32, issue 5, 481-493

Abstract: When bounds on the parameters of a linear-in-the-parameters model are computed, the exact feasible parameter set defined by the bounds (a polytope) is usually approximated by a simpler shape such as an ellipsoid. However, such simpler bounds may be much looser than the exact bounds. A new algorithm for updating the exact bounds is presented and compared with other recently published methods. Computational results illustrate exact polytope-bound updating by this algorithm from records of realistic length.

Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:32:y:1990:i:5:p:481-493

DOI: 10.1016/0378-4754(90)90004-3

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