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Activity Number: 283
Type: Invited
Date/Time: Tuesday, August 11, 2015 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract #314532 View Presentation
Title: Computational Methods in Quantile Regression
Author(s): Roger Koenker*
Companies: IMS
Keywords: quantile regression ; interior point methods ; gradient descent
Abstract:

Convex optimization has dramatically improved the computational efficiency of quantile regression methods, but high dimensional models still pose serious challenges. Gradient descent offers some opportunities for improving upon classical interior point methods in large papers. Comparisons of various methods will be explored and new approaches will be suggested that offer improved performance in problems with dense designs of large dimension.

Authors who are presenting talks have a * after their name.

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