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Bounded Error Parameter Estimation: A Sequential Analytic
Center Approach

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E. Bai, Y. Ye and R. Tempo

In this paper, a sequential analytic-center approach
for bounded error parameter estimation is proposed.
The analytic center minimizes the ``average'' output
error and allows an easy-to-compute sequential
algorithm. With little computational effort two
ellipsoids centered at the analytic center
can be obtained as well: One inscribes and the other
outscribes the so-called membership set. Finally, a
sequential algorithm is presented along with its
convergence proof. The complexity of this algorithm in
terms of the maximum number of Newton iterations is
shown to be {\em linear} in the number of observed
data points. The result is is new in the literature of
linear programming as well.
Working Paper, Dept. of Management Science, University
of Iowa, IA, 52242, USA.

Contact: yinyu-ye@uiowa.edu