1981•Communications in Statistics - Simulation and ComputationRequires access

A new descent algorithm for the least absolute value regression problem

George O. Wesolowsky

Abstract

This paper presents a new and simple algorithm for the least absolute value regression problem. It is based on the notion of “edge” descent along the surface of the objective function. It is comparable or better in computational efficiency to current linear programming approaches for roughly 4 or fewer independent variables.

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Available abstract

Key concepts: Descent (aeronautics), Algorithm, Linear regression, Least absolute deviations, Simple (philosophy), Value (mathematics), Simple linear regression, Regression