Is the a way to do parameter estimation using Least Absolute deviation with constraints in matlab.
If so, please let me know of a place to read about it.
thanks.
Best Answer
If you are talking about the problem
min_x sum( abs(r(x)))
it is equivalent to
min_{x,d} sum(d)
s.t.
r(x) <=d
-r(x)<=d
The above formulation is differentiable if r(x) is differentiable, so FMINCON can handle it. You can obviously add any additional constraints you wish, so long as they too are differentiable.
Best Answer