Interval analysis and optimization applied to parameter estimation under uncertainty
Fecha
2018-01-01
Autores
Gallego-Posada
J.D.
Puerta-Yepes
M.E.
Título de la revista
ISSN de la revista
Título del volumen
Editor
Boletim da Sociedade Paranaense de Matematica
Resumen
We present a methodology through exemplification to perform parameter estimation subject to possible factors of uncertainty. The underlying optimization problem is posed in the framework of the theory of interval-valued optimization. The implementation of numerical procedures required to achieve efficient solutions implied the use of the l1 norm instead of usual l2 regression. Finally, an implementation using real data was performed, demonstrating the ability of interval analysis to encapsulate uncertainty while facing non-trivial parameter estimation problems. © Soc. Paran. de Mat.