Title:

A United Probabilistic Approach to Minimising the Sum of Absolute Values

Group publication title:

Ekonometria = Econometrics

Title in english:

Zunifikowane probabilistyczne podejście do minimalizacji sumy wartości bezwzględnych

Creator:

Feng, Changyong ; Liu, Honghong ; Poon, Ethan ; Feng, Ge

Subject and Keywords:

median ; probability distribution ; minimum value ; mediana ; rozkład prawdopodobieństwa ; wartość minimalna

Description:

Econometrics = Ekonometria, 2024, Vol. 28, No. 3, s. 1-8

Abstrakt:

Aim: Introduce a novel method for minimizing functions in the form of a sum of absolute values. Methodology: The sum of absolute values can be standardized so that the sum of the coefficients equals 1. In this case, the sum of absolute values takes the form 𝐸𝐸|𝑋𝑋−𝑎𝑎|, where 𝑋𝑋 is a random variable. Results: Any median of 𝑋𝑋 is a minimiser of the function 𝐸𝐸|𝑋𝑋−𝑎𝑎|. To minimise the function, it suffices to find any median of 𝑋𝑋. Implications and recommendations: The method introduced in this paper can be applied to minimise a large family of functions. Originality/value: Our work uses the probabilistic method to solve optimization problems.

Publisher:

Publishing House of Wroclaw University of Economics and Business

Place of publication:

Wroclaw

Date:

2024

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/eada.2024.3.01

Language:

eng

Relation:

Econometrics = Ekonometria, 2024, Vol. 28, No. 3

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-SA 4.0

Location:

Uniwersytet Ekonomiczny we Wrocławiu