Quote:
I want that line to be a regression line from a cloud of points that are candidates to be there. Each point has a value of the 'chance' to be part of the line.
Do you really have
probabilities, i.e. values strictly within [0,1]? Or just "likelihood values"? Do line have to pass
exactly through
all points, which are "part of it"? If answers are "probability" and "exactly", then ALGLIB can't solve this task. And I've never heard of regression problem like this.
However you can use linear regression unit to find approximate answer - just set weights to probability values (or square roots of values, I'm not sure) and get approximate line.