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

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St

Beginner

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02-27-2014
11:39 AM

36 Views

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

Hi, I know there is?gglsethat solves the linear equality-constrained least squares problem using a generalized RQ factorization

minimize ||subject toc-A*x||2However I would like to solve particular case:B*x=d

minimize ||subject toc-A*x||2B*x<=d

Is this possible, I have searched documentation but had no luck

Thanks in advance.

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mecej4

Black Belt

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02-27-2014
04:07 PM

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St wrote:That is more general than than the equality constrained case!

However I would like to solve particular case:minimize ||c - A*x||2 subject to B*xd<=

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.

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For more complete information about compiler optimizations, see our Optimization Notice.