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Piecewise Linear Solution Paths for Parametric Piecewise Quadratic Programs with Application to Direct Weight Optimization
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2007 (English)Report (Other academic)
Abstract [en]

Recently, pathfollowing algorithms for parametric optimization problems with piecewise linear solution paths have been developed within the field of regularized regression. This paper presents a generalization of these algorithms to a wider class of problems, namely a class of parametric piecewise quadratic programs and related problems. By using pathfollowing algorithms that exploit the piecewise linearity, the entire solution paths can be very efficiently computed. Possible applications include design parameter selection for identification methods such as Direct Weight Optimization.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2007. , 27 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2816
Keyword [en]
System identification, Non-parametric identification, Parametric, optimization, Pathfollowing algorithms
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-56137ISRN: LiTH-ISY-R-2816OAI: diva2:316963
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-10-01Bibliographically approved

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Roll, Jacob
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Automatic ControlThe Institute of Technology
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ReferencesLink to record
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