Regression analysis of data based on the method of least absolute deviations in dynamic estimation problems

Abstract

The use of regression analysis in dynamic problems of system estimation requires a high-speed algorithm of model parameter determination. Moreover, the original data may have stochastic heterogeneity which entails the necessity of the estimates of model parameters be resistant to various data anomalies. However, stable estimation methods, including the least absolute deviations method, are significantly inferior to the parametric ones. The goal of the study is to describe a computationally efficient algorithm for implementing the method of least absolute deviations for dynamic estimation of regression models and to study its capabilities for solving practical problems. This algorithm is based on descending along nodal lines. In this case, instead of the values of the objective function, its derivative in the direction of descent is considered. The computational complexity of the algorithm is also reduced due to the use of the solution of the problem at the previous step as a starting point and efficient updating of observations in the current data sample. The external performance of the proposed dynamic version of the algorithm of gradient descent along nodal lines has been compared with the static version and with the least squares method. It is shown that the dynamic version of the algorithm of gradient descent along the nodal lines make it possible to bring the speed close to that of the least squares method for common practical situations and to use the proposed version in dynamic estimation problems for a wide class of systems.