A Maximum Likelihood Approach to Least Absolute Deviation Regression

Least absolute deviation (LAD) regression is an important tool used in numerous applications throughout science and engineering, mainly due to the intrinsic robust characteristics of LAD. In this paper, we show that the optimization needed to solve the LAD regression problem can be viewed as a sequence of maximum likelihood estimates (MLE) of location. The derived algorithm reduces to an iterative procedure where a simple coordinate transformation is applied during each iteration to direct the optimization procedure along edge lines of the cost surface, followed by an MLE of location which is executed by a weighted median operation. Requiring weighted medians only, the new algorithm can be easily modularized for hardware implementation, as opposed to most of the other existing LAD methods which require complicated operations such as matrix entry manipulations. One exception is Wesolowsky's direct descent algorithm, which among the top algorithms is also based on weighted median operations. Simulation shows that the new algorithm is superior in speed to Wesolowsky's algorithm, which is simple in structure as well. The new algorithm provides a better tradeoff solution between convergence speed and implementation complexity.