FAST AND ROBUST ALGORITHM TO COMPUTE EXACT POLYTOPE PARAMETER BOUNDS

When bounds on the parameters of a linear-in-the-parameters model are computed, the exact feasible parameter set defined by the bounds (a polytope) is usually approximated by a simpler shape such as an ellipsoid. However, such simpler bounds may be much looser than the exact bounds. A new algorithm for updating the exact bounds is presented and compared with other recently published methods. Computational results illustrate exact polytope-bound updating by this algorithm from records of realistic length.