View Single Post
  #1   Spotlight this post!  
Unread 18-06-2015, 20:23
Ether's Avatar
Ether Ether is offline
systems engineer (retired)
no team
 
Join Date: Nov 2009
Rookie Year: 1969
Location: US
Posts: 8,038
Ether has a reputation beyond reputeEther has a reputation beyond reputeEther has a reputation beyond reputeEther has a reputation beyond reputeEther has a reputation beyond reputeEther has a reputation beyond reputeEther has a reputation beyond reputeEther has a reputation beyond reputeEther has a reputation beyond reputeEther has a reputation beyond reputeEther has a reputation beyond repute
calling all "R Statistical Package" gurus


Given m-by-n matrix [A], (m>n), and m-by-1 column vector [b] for the overdetermined system of linear equations

[A][x] = [b],

What is the recommended way to use R to find the n-by-1 column vector [x] which minimizes the L1 norm of [b]-[A][x] ?

aka minx |[b]-[A][x]|1, aka Least Absolute Deviation (LAD) ?