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| Boundary Constrained Linear Least Squares? http://forum.alglib.net/viewtopic.php?f=2&t=763 |
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| Author: | maneck35 [ Fri Jan 25, 2013 7:03 am ] |
| Post subject: | Boundary Constrained Linear Least Squares? |
Hi I'm trying to implement a boundary constrained Linear Least Squares problem using ALGLIB. To put the problem simply, I want to find the matrix W from: X * W = T where X is a matrix with 50 columns and 3 rows (3 x 50), W is a column matrix with 50 elements (50 x 1) and T is a column matrix with 3 element (50 x 1) The constraints are on the values of the elements of W - let's call the elements 'w'. 0 <= w <= 1. I've looked at the lsfitlinearc function but there doesn't seem to be an option to include boundary constraints. I also looked at the lsfit_d_nlfb example but I can't seem to comprehend how I could use it for my problem *embarassed*. Could someone kindly help me out? Thanks! |
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| Author: | Sergey.Bochkanov [ Mon Jan 28, 2013 8:59 am ] |
| Post subject: | Re: Boundary Constrained Linear Least Squares? |
You may reformulate it as general optimization problem and solve with BLEIC optimizer. It may take some time, but it should converge unless you have very badly conditioned problem. |
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| Author: | maneck35 [ Mon Jan 28, 2013 9:06 am ] |
| Post subject: | Re: Boundary Constrained Linear Least Squares? |
Thanks for your reply, I solved it yesterday doing the same and using lsfitfit() |
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