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Avtomatika i Telemekhanika, 2014, Issue 12, Pages 78–100
(Mi at14164)
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This article is cited in 1 scientific paper (total in 1 paper)
System Analysis and Operations Research
$L_1$-optimal linear programming estimator for periodic frontier functions with Hölder continuous derivative
A. V. Nazina, S. Girardb a Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia
b LJK, Inria Rhône-Alpes, Grenoble, France
Abstract:
We propose a new estimator based on a linear programming method for smooth frontiers of sample points on a plane. The derivative of the frontier function is supposed to be Hölder continuous. The estimator is defined as a linear combination of kernel functions being sufficiently regular, covering all the points and whose associated support is of smallest surface. The coefficients of the linear combination are computed by solving a linear programming problem. The $L_1$ error between the estimated and the true frontier function is shown to be almost surely converging to zero, and the rate of convergence is proved to be optimal.
Citation:
A. V. Nazin, S. Girard, “$L_1$-optimal linear programming estimator for periodic frontier functions with Hölder continuous derivative”, Avtomat. i Telemekh., 2014, no. 12, 78–100; Autom. Remote Control, 75:12 (2014), 2152–2169
Linking options:
https://www.mathnet.ru/eng/at14164 https://www.mathnet.ru/eng/at/y2014/i12/p78
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