Nonparametric Multivariate Regression Subject to Constraint
We review Hildreth's algorithm for computing the least squares regression subject to inequality constraints and Dykstra's generalization. We provide a geometric proof of convergence and several enhancements to the algorithm and generalize the application of the algorithm from convex cones to convex sets.
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- Varian, Hal R, 1984. "The Nonparametric Approach to Production Analysis," Econometrica, Econometric Society, vol. 52(3), pages 579-597, May.