抗差加权整体最小二乘模型的牛顿-高斯算法

基于加权整体最小二乘的牛顿-高斯迭代算法,提出了一种抗差加权整体最小二乘模型。利用标准化残差构造权因子函数,并采用中位数法获得具有抗差性的单位权中误差估值,能同时实现观测空间和结构空间抗差。为获得标准化残差,利用线性近似的协因数传播律推导了加权整体最小二乘残差协因数阵的表达式,并给出模型的迭代计算方法。试验结果表明:对于加权整体最小二乘的粗差处理问题,本文提出的方法具有良好的抗差性能,参数估值与不含粗差时加权整体最小二乘的结果没有显著的差异,性能优于直接由残差构造的稳健加权整体最小二乘模型。

Newton-Gauss Algorithm of Robust Weighted Total Least Squares Model

Based on the Newton-Gauss iterative algorithm of weighted total least squares (WTLS),a robust WTLS (RWTLS)model is presented.The model uti l izes the standardized residuals to construct the weight factor function and the square root of the variance component estimator with robustness is obtained by introducing the median method.Therefore,the robustness in both the observation and structure spaces can be simultaneously achieved.To obtain standardized residuals,the l inearly approximate cofactor propagation law is employed to derive the expression of the cofactor matrix of WTLS residuals.The iterative calculation steps for RWTLS are also described.The experiment indicates that the model proposed in this paper exhibits satisfactory robustness for gross errors handl ing problem of WTLS,the obtained parameters have no significant difference with the results of WTLS without gross errors.Therefore,it is superior to the robust weighted total least squares model di rectly constructed with residuals.