Multiple linear regression with constraint

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Aurélien
Aurélien 2014-5-26
评论： Aurélien 2014-5-26
Hi,
I need some help with a code. I need to run a multiple linear regression for 4 variables (x1, x2, x3, x4) : y = a x1 + b x2 + c x3 + d x4 such that: b = 1 and c = ad
I know i need to use the lsqlin function but i don't really understand how it works.
Thanks for your help !
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Matt J
Matt J 2014-5-26
编辑：Matt J 2014-5-26
b=1 is not really a constraint. It means its value is known. You should just exclude it from the list of unknowns and do the regression in terms of a, b, and d.

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John D'Errico
John D'Errico 2014-5-26
No. You cannot use LSQLIN. Sorry, but not an option.
Why not? Because one of your constraints is nonlinear, i.e., c=a*d.
You will need to use FMINCON, minimizing a sum of squares of residuals. FMINCON can handle the nonlinear equality constraint.
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Aurélien
Aurélien 2014-5-26
Thanks a lot fot this quick reply! I am not familiar with mathematical formulation so I have difficulty to code with FMINCON. Is it possible to give me a hand to implement the code which answers to my question?

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