Algorithms for Envelope Estimation II

TL;DR

This paper introduces a new, faster, and more accurate algorithm for envelope estimation that avoids Grassmannian optimization, along with a root n consistent method for initial value computation.

Contribution

It presents a novel envelope estimation algorithm that improves speed and accuracy and a new method for computing starting values with root n consistency.

Findings

The new algorithm is significantly faster than previous methods.

It demonstrates higher accuracy in simulations.

The starting value method is root n consistent.

Abstract

We propose a new algorithm for envelope estimation, along with a new root n consistent method for computing starting values. The new algorithm, which does not require optimization over a Grassmannian, is shown by simulation to be much faster and typically more accurate that the best existing algorithm proposed by Cook and Zhang (2015c).