Solving weighted least squares problem with linear constraints

4 次查看（过去 30 天）
maagen
maagen 2015-7-2
评论： John D'Errico 2015-7-2
I am trying to solve a weighted least squares problem with both linear inequality and linear equality constraints. Which Matlab function should I use?

请先登录，再回答此问题。

采纳的回答

Torsten
Torsten 2015-7-2
help quadprog
Best wishes
Torsten.

更多回答（1 个）

John D'Errico
John D'Errico 2015-7-2
No need to rewrite the problem into a form that quadprog can solve. Use lsqlin (optimization toolbox also). It does exactly what you wish.
  2 个评论
maagen
maagen 2015-7-2
Ah, yeah, I just need to redefine |Cx-d|||^2 as |Qx-e|||^2 where Q=W^½C, e=W^½d, and W^½ is the matrix square root of my weighting matrix, right?
John D'Errico
John D'Errico 2015-7-2
Yes. Of course, if the weights are just a vector w, then diag(sqrt(w)) will suffice to build the multiplier. And if you have a big problem, then I would either make the W matrix a sparse one for faster multiplies, or I would use bsxfun to scale the rows of C. These are all minor issues unless you have a big problem or you are solving many such problems.

请先登录，再进行评论。

类别

在 Help Center 和 File Exchange 中查找有关 Linear Least Squares 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by