Intel® oneAPI Math Kernel Library
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Function to solve the linear "less-equality"-constrained least squares (LSE)

St
Beginner
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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.

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mecej4
Honored Contributor III
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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.

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