January  2019, 4: 8 doi: 10.1186/s41546-019-0042-6

Nonlinear regression without i.i.d. assumption

UniDT, Shanghai, China

In this paper, we consider a class of nonlinear regression problems without the assumption of being independent and identically distributed. We propose a correspondent mini-max problem for nonlinear regression and give a numerical algorithm. Such an algorithm can be applied in regression and machine learning problems, and yields better results than traditional least squares and machine learning methods.
Citation: Qing Xu, Xiaohua (Michael) Xuan. Nonlinear regression without i.i.d. assumption. Probability, Uncertainty and Quantitative Risk, 2019, 4 (0) : 8-. doi: 10.1186/s41546-019-0042-6
References:
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Ben-Israel, A. and T.N.E. Greville. (2003). Generalized inverses:Theory and applications (2nd ed.), Springer, New York.,

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Boyd, S., N. Parikh, E. Chu, B. Peleato, and J. Eckstein. (2010). Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers, Found. Trends Mach. Learn. 3, 1-122.,

[3]

Boyd, S. and L. Vandenberghe. (2004). Convex Optimization, Cambridge University Press. https://doi.org/10.1017/cbo9780511804441.005.,

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Demyanov, V.F. and V.N. Malozemov. (1977). Introduction to Minimax, Wiley, New York.,

[5]

Jin, H. and S. Peng. (2016). Optimal Unbiased Estimation for Maximal Distribution. https://arxiv.org/abs/1611.07994.,

[6]

Kellogg, R.B. (1969). Nonlinear alternating direction algorithm, Math. Comp. 23, 23-38.,

[7]

Kendall, M.G. and A. Stuart. (1968). The Advanced Theory of Statistics, Volume 3:Design and Analysis, and Time-Series (2nd ed.), Griffin, London.,

[8]

Kiwiel, K.C. (1987). A Direct Method of Linearization for Continuous Minimax Problems, J. Optim. Theory Appl. 55, 271-287.,

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Klessig, R. and E. Polak. (1973). An Adaptive Precision Gradient Method for Optimal Control, SIAM J. Control 11, 80-93.,

[10]

Legendre, A.-M. (1805). Nouvelles methodes pour la determination des orbites des cometes, F. Didot, Paris.,

[11]

Lin, L., Y. Shi, X. Wang, and S. Yang. (2016). k-sample upper expectation linear regression-Modeling, identifiability, estimation and prediction, J. Stat. Plan. Infer. 170, 15-26.,

[12]

Lin, L., P. Dong, Y. Song, and L. Zhu. (2017a). Upper Expectation Parametric Regression, Stat. Sin. 27, 1265-1280.,

[13]

Lin, L., Y.X. Liu, and C. Lin. (2017b). Mini-max-risk and mini-mean-risk inferences for a partially piecewise regression, Statistics 51, 745-765.,

[14]

Nocedal, J. and S.J. Wright. (2006). Numerical Optimization, Second Edition, Springer, New York.,

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Panin, V.M. (1981). Linearization Method for Continuous Min-max Problems, Kibernetika 2, 75-78.,

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Peng, S. (2005). Nonlinear expectations and nonlinear Markov chains, Chin. Ann. Math. 26B, no. 2, 159-184.,

[17]

Seber, G.A.F. and C.J. Wild. (1989). Nonlinear Regression, Wiley, New York.,

show all references

References:
[1]

Ben-Israel, A. and T.N.E. Greville. (2003). Generalized inverses:Theory and applications (2nd ed.), Springer, New York.,

[2]

Boyd, S., N. Parikh, E. Chu, B. Peleato, and J. Eckstein. (2010). Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers, Found. Trends Mach. Learn. 3, 1-122.,

[3]

Boyd, S. and L. Vandenberghe. (2004). Convex Optimization, Cambridge University Press. https://doi.org/10.1017/cbo9780511804441.005.,

[4]

Demyanov, V.F. and V.N. Malozemov. (1977). Introduction to Minimax, Wiley, New York.,

[5]

Jin, H. and S. Peng. (2016). Optimal Unbiased Estimation for Maximal Distribution. https://arxiv.org/abs/1611.07994.,

[6]

Kellogg, R.B. (1969). Nonlinear alternating direction algorithm, Math. Comp. 23, 23-38.,

[7]

Kendall, M.G. and A. Stuart. (1968). The Advanced Theory of Statistics, Volume 3:Design and Analysis, and Time-Series (2nd ed.), Griffin, London.,

[8]

Kiwiel, K.C. (1987). A Direct Method of Linearization for Continuous Minimax Problems, J. Optim. Theory Appl. 55, 271-287.,

[9]

Klessig, R. and E. Polak. (1973). An Adaptive Precision Gradient Method for Optimal Control, SIAM J. Control 11, 80-93.,

[10]

Legendre, A.-M. (1805). Nouvelles methodes pour la determination des orbites des cometes, F. Didot, Paris.,

[11]

Lin, L., Y. Shi, X. Wang, and S. Yang. (2016). k-sample upper expectation linear regression-Modeling, identifiability, estimation and prediction, J. Stat. Plan. Infer. 170, 15-26.,

[12]

Lin, L., P. Dong, Y. Song, and L. Zhu. (2017a). Upper Expectation Parametric Regression, Stat. Sin. 27, 1265-1280.,

[13]

Lin, L., Y.X. Liu, and C. Lin. (2017b). Mini-max-risk and mini-mean-risk inferences for a partially piecewise regression, Statistics 51, 745-765.,

[14]

Nocedal, J. and S.J. Wright. (2006). Numerical Optimization, Second Edition, Springer, New York.,

[15]

Panin, V.M. (1981). Linearization Method for Continuous Min-max Problems, Kibernetika 2, 75-78.,

[16]

Peng, S. (2005). Nonlinear expectations and nonlinear Markov chains, Chin. Ann. Math. 26B, no. 2, 159-184.,

[17]

Seber, G.A.F. and C.J. Wild. (1989). Nonlinear Regression, Wiley, New York.,

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