提出一种快速精确的鲁棒直线拟合算法,比传统方法更快更稳定。
Fast and Exact Least Absolute Deviations Line Fitting via Piecewise Affine Lower-Bounding
- 用分段仿射下界和子梯度支撑线构建优化框架
- 在合成与真实数据上均实现对数线性时间复杂度,速度超越主流求解器
- 开源实现支持Python调用,适合需要精确鲁棒拟合的研究者
最小绝对偏差(LAD)直线拟合对异常值具有鲁棒性,但计算成本高于最小二乘回归。尽管已有线性和近线性时间算法,但实现复杂且缺乏维护良好的公开实现。实践中,研究者常采用基于线性规划(LP)的Barrodale-Roberts单纯形法或内点法,或使用不保证精确解的迭代加权最小二乘(IRLS)近似。为填补这一空白,本文提出分段仿射下界(PALB)方法,一种精确的LAD直线拟合算法。PALB利用子梯度导出的支撑线构造分段仿射下界,并通过这些下界极小值的细分策略进行优化。我们证明了算法正确性,并给出了迭代次数的理论边界。在包含不同类型信号和重尾异常值的合成数据以及来自美国国家海洋和大气管理局(NOAA)综合地表数据库的真实数据集上,PALB表现出经验上的对数线性缩放特性。其性能持续优于公开可用的基于LP和IRLS的求解器。我们提供了用Rust编写的参考实现,并提供Python API。
原文摘要 · Abstract (English)
Least-absolute-deviations (LAD) line fitting is robust to outliers but computationally more involved than least squares regression. Although the literature includes linear and near-linear time algorithms for the LAD line fitting problem, these methods are difficult to implement and, to our knowledge, lack maintained public implementations. As a result, practitioners often resort to linear programming (LP) based methods such as the simplex-based Barrodale-Roberts method and interior-point methods, or on iteratively reweighted least squares (IRLS) approximation which does not guarantee exact solutions. To close this gap, we propose the Piecewise Affine Lower-Bounding (PALB) method, an exact algorithm for LAD line fitting. PALB uses supporting lines derived from subgradients to build piecewise-affine lower bounds, and employs a subdivision scheme involving minima of these lower bounds. We prove correctness and provide bounds on the number of iterations. On synthetic datasets with varied signal types and noise including heavy-tailed outliers as well as a real dataset from the NOAA's Integrated Surface Database, PALB exhibits empirical log-linear scaling. It is consistently faster than publicly available implementations of LP based and IRLS based solvers. We provide a reference implementation written in Rust with a Python API.
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