Linear programming problems for frontier estimation

Details Linear programming problems for frontier estimation Linear programming problems for frontier estimation

2011-03-30

arxiv.org/abs/1103.5925v1

Automation and Remote Control, 65(1), 58-64, 2004

Statistics

Methodology

Scientific paper

We propose new estimates for the frontier of a set of points. They are defined as kernel estimates covering all the points and whose associated support is of smallest surface. The estimates are written as linear combinatio- ns of kernel functions applied to the points of the sample. The coefficients of the linear combination are then computed by solving a linear programming problem. In the general case, the solution of the optimizat- ion problem is sparse, that is, only a few coefficients are non zero. The corresponding points play the role of support vectors in the statistical learning theory. The L_1 error between the estimated and the true frontiers is shown to be almost surely converging to zero, and the rate of convergence is provided. The behaviour of the estimates on finite sample situations is illustrated on some simulations.

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