Notice that for small values of c, fc(u) = √ c2 + u2 ≈ |u|, or in words, fc(u)is a continuous approximation for the discontinuous function |u|. Consider using this approximation to solve the median...


Notice that for small values of c, fc(u) = √ c2 + u2 ≈ |u|, or in words, fc(u)is a continuous approximation for the discontinuous function |u|. Consider using this approximation to solve the median regression problem as


                         minb i f (yi − xT i b).


What optimization methods may work here? Will Newton methods work? Why or why not?



May 03, 2022
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