CODEWITHSUNDEEP
optimizationlinear-regressionscilabestimation
peng
peng

Reputation: 310

Robust regression in scilab

For the aim of a robust linear regression, i want to realize a M-Estimator with Geman-McLure loss function

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The class of M-Estimators are presented in this document and Geman-McLure can be found at page 13. To solve the minimization problem, Iteratively reweighted least squares is recommended. How can i implement this procedure in scilab? May i use optim?

Upvotes: 1

Views: 156

Answers (1)

spoorcc
spoorcc

Reputation: 2955

From the site of the document you linked there are also some Matlab demo files available in a zip. There are two files in this zip that I think are important:

  • utvisToolbox/tutorials/lineTut/robustDemo.m
  • utvisToolbox/tutorials/lineTut/robustIteration.m

In the robustDemo.m file there is a implementation of the Robust M-estimation Algorithm.

To answer your question how to implement this in SciLab; You could start by converting these matlab files to scilab using mfile2sci. At least in the sampleRobustObj and robustIteration functions, only basic Matlab stuff is used which should be convertible by mfile2sci.

Upvotes: 2

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