On Jun 12, 2004, at 4:35 PM, Prof Brian Ripley wrote:
This is just a linear programming problem. So the packages which do
linear programming are `particularly well suited to this sort of task'
and theory tells you a lot about the solution.
Indeed. With the package quantreg, for example, you
I am attempting to optimize a regression model's parameters to meet a specific
target for the sum of positive errors over sum of the dependent variable
(minErr below).
I see two courses of action , 1) estimate a linear model then iteratively
reduce the regressors to achieve the desired
This is just a linear programming problem. So the packages which do
linear programming are `particularly well suited to this sort of task'
and theory tells you a lot about the solution.
Resarching how L_1 regression is done (that is that sum of the absolute
values of the errors) should give
