Thread View: sci.math.num-analysis
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Started by Qin Cai
Thu, 28 Jan 1993 03:46
Least Square Estimation
Author: Qin Cai
Date: Thu, 28 Jan 1993 03:46
Date: Thu, 28 Jan 1993 03:46
18 lines
1013 bytes
1013 bytes
I have a Least Square Estimation problem which took me a long time but
still couldn't figure out the the method to solve it. I'm sure that
there is no expilict solution, what I want to know is the computer
searching algorithm. Could somebody help me?
The problem is to minimize the next function:
\sum_{s} ||b_{s} - A_{s} *B *c_{s} ||^{2}
where b_{s}: vector of T by 1,(T is very large, could be thousands), known
A_{s}: Matrix of T by m, known
B: Matrix of m by n,(m > n, m:n could be 100:5), unkown.
c_{s}: vector of n by 1, unknown.
\sum_{s} means sum over s, s is the foot note.
Any helpful suggestion is appreciated.
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