Using parameter elimination to solve discrete linear Chebyshev approximation problems

TL;DR

This paper introduces an algebraic parameter elimination method for solving discrete linear Chebyshev approximation problems, providing a direct, exact solution approach for regression problems with one or multiple parameters.

Contribution

It develops a novel algebraic technique using parameter elimination and an elimination lemma to solve Chebyshev approximation problems directly, including multidimensional cases.

Findings

Provides a new algebraic solution method for linear Chebyshev approximation.

Demonstrates exact solutions for one- and two-parameter regression problems.

Analyzes the computational complexity of the proposed procedure.

Abstract

We consider discrete linear Chebyshev approximation problems in which the unknown parameters of linear function are fitted by minimizing the maximum absolute deviation of errors. Such problems find application in the solution of overdetermined systems of linear equations that appear in many practical contexts. The least maximum absolute deviation estimator is used in regression analysis in statistics when the distribution of errors has bounded support. To derive a direct solution of the problem, we propose an algebraic approach based on a parameter elimination technique. As a key component of the approach, an elimination lemma is proved to handle the problem by reducing it to a problem with one parameter eliminated, together with a box constraint imposed on this parameter. We demonstrate the application of the lemma to the direct solution of linear regression problems with one and two parameters. We develop a procedure to solve multidimensional approximation (multiple linear regression) problems in a finite number of steps. The procedure follows a method that comprises two phases: backward elimination and forward substitution of parameters. We describe the main components of the procedure and estimate its computational complexity. We implement symbolic computations in MATLAB to obtain exact solutions for two numerical examples.