A Convex Relaxation of a Dimension Reduction Problem Using the Nuclear Norm
2012 (English)In: Proceedings of the 51st IEEE Conference on Decision and Control, 2012, 2852-2857 p.Conference paper (Refereed)
The estimation of nonlinear models can be a challenging problem, in particular when the number of available data points is small or when the dimension of the regressor space is high. To meet these challenges, several dimension reduction methods have been proposed in the literature, where a majority of the methods are based on the framework of inverse regression. This allows for the use of standard tools when analyzing the statistical properties of an approach and often enables computationally efficient implementations. The main limitation of the inverse regression approach to dimension reduction is the dependence on a design criterion which restricts the possible distributions of the regressors. This limitation can be avoided by using a forward approach, which will be the topic of this paper. One drawback with the forward approach to dimension reduction is the need to solve nonconvex optimization problems. In this paper, a reformulation of a well established dimension reduction method is presented, which reveals the structure of the optimization problem, and a convex relaxation is derived.
Place, publisher, year, edition, pages
2012. 2852-2857 p.
Concave programming, Nonlinear estimation, Regression analysis
IdentifiersURN: urn:nbn:se:liu:diva-93281DOI: 10.1109/CDC.2012.6426097ISI: 000327200403035ISBN: 978-1-4673-2064-1ISBN: 978-1-4673-2065-8OAI: oai:DiVA.org:liu-93281DiVA: diva2:623916
51st IEEE Conference on Decision and Control, Maui, Hawaii, USA, 10-13 December, 2012