Using the Golden Section Search Method to Minimize the Sum of Absolute Deviations

Introduction

Recently, I introduced the golden search method – a special way to save computation time by modifying the bisection method with the golden ratio – and I illustrated how to minimize a cusped function with this script.  I also wrote an R function to implement this method and an R script to apply this method with an example.  Today, I will use apply this method to a statistical topic: minimizing the sum of absolute deviations with the median.

While reading Page 148 (Section 6.3) in Michael Trosset’s “An Introduction to Statistical Inference and Its Applications”, I learned 2 basic, simple, yet interesting theorems.

If X is a random variable with a population mean and a population median , then

a) minimizes the function

b) minimizes the function

I won’t prove these theorems in this blog post (perhaps later), but I want to use the golden section search method to show a result similar to b):

c) The sample median, , minimizes the function

.

This is not surprising, of course, since

– is just a function of the random variable

– by the law of large numbers,

Thus, if the median minimizes , then, intuitively, it minimizes .  Let’s show this with the golden section search method, and let’s explore any differences that may arise between odd-numbered and even-numbered data sets.