Intel® oneAPI Math Kernel Library
Ask questions and share information with other developers who use Intel® Math Kernel Library.
7117 Discussions

Function to solve the linear "less-equality"-constrained least squares (LSE)

St
Beginner
486 Views
Hi, I know there is ?gglse that solves the linear equality-constrained least squares problem using a generalized RQ factorization
      minimize ||c - A*x||2 subject to B*x = d
     
However I would like to solve particular case:
     minimize ||c - A*x||2 subject to B*x <= d
Is this possible, I have searched documentation but had no luck

 

Thanks in advance.

0 Kudos
1 Reply
mecej4
Honored Contributor III
486 Views

St wrote:
However I would like to solve particular case:

     minimize ||c - A*x||2 subject to B*x <= d
That is more general than than the equality constrained case!

See http://www.sbsi-sol-optimize.com/asp/sol_product_lssol.htm , and TOMS 587 at http://www.netlib.org/toms/587 for two codes that solve the inequality constrained case. The former is not free.

0 Kudos
Reply