Article View: sci.math.stat
Article #62Summary: Least Squares with Constraints
From: Darrell Roy Hougen
Date: Wed, 22 Jul 1992 01:28
Date: Wed, 22 Jul 1992 01:28
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3956 bytes
Some time ago I inquired about solving a problem in least squares in
which all of the unkowns are required to be positive. Some people
requested that a summary of the replies be posted or sent to them.
(Sorry I took so long to compile this.) So here is a summary:
------------ Original problem statement --------------------
I have what effectively amounts to a linear regression problem with
contraints. I have observations, (X_i, Y_i), where X_i = (X_i1, ...,
X_ij), and I am trying to fit the model, Y_i = sum_j a_j X_ij + e_i.
The catch is that I must have all of the a_j >= 0.
Is this a common problem? Is there some standard solution to it?
Does anyone have any ideas how to solve it?
------------ Maximum Likelihood and Logarithms --------------
Several people suggested that I let b_j = log(a_j). That way, a_j
would be guaranteed to remain positive as b_j is allowed to range from
-infty to +infty. One could either make the substitution directly,
ie., substitute exp(b_j) for a_j in the above formulation, or use MLE
to derive a solution. In either case, the problem appears to be
nonlinear.
----------- Use squared coefficients ------------------------
A couple people suggested the use of squared coefficients. In this
case, the substitution would be b_j^2 in place of a_j in the above
formulation. This is a nonlinear method.
----------- Use all possible subsets ------------------------
One person suggested that the regression program be run on all
possible subsets and that the solution be chosen with the minimum sum
of squared errors and all coefficients positive:
y on x1 x2 x3
y on x1 x2
x1 x3
x2 x3
x1
x2
x3
This is linear in each subset of coefficients but is combinatorial in
the number of coefficients. It is probably a good method if the
number of independent variables is small.
----------- Non-negative least squares -----------------------
One person informed me that "the problem you ask about is called the
non-negative least squares problem." After some research, I
discovered that it is also called least squares with inequality
constraints and is a subset of the domain of nonlinear programming.
This appears to be the best way to solve the problem for any
nontrivial number of unknowns and because I sometimes have up to 100
unknowns, this is the method that I have chosen to use. The person
that clued me in also sent me come C code which works great.
Here is a reference that I received (from another person) on the
subject:
Bremner, J.M. (1982) An algorithm for nonnegative least squares and
projection onto cones. Compstat 1982, Part I: Proceedings in
Computational Statistics. Vienna: Physica-Verlag.
----------- Fuzzy Kriging -------------------------------------
I also received the following (for anyone really interested in the
subject):
well, instead of just the usual normal equations, one has to introduce
lagrange multipliers and use the kuhn-tucker conditions to get
analogues of the normal equations. see for example any book on
constrained optimization, or for the derivation of a generalized
estimator, my paper "fuzzy kriging", fuzzy sets and systems, 33(1989),
315--332. (phil diamond)
----------- The End -------------------------------------------
Darrell
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Path: arc1-ca.pugleaf.net!sparky!uunet!cs.utexas.edu!usc!wupost!m.cs.uiuc.edu!roundup.crhc.uiuc.edu!uirvli!hougen From: hougen@uirvli.csl.uiuc.edu (Darrell Roy Hougen) Newsgroups: sci.math.stat Subject: Summary: Least Squares with Constraints Date: 22 Jul 1992 01:28:27 GMT Organization: Center for Reliable and High-Performance Computing, University of Illinois at Urbana-Champaign Lines: 83 Message-ID: <l6pedrINN4b6@roundup.crhc.uiuc.edu> NNTP-Posting-Host: uirvli.csl.uiuc.edu Summary: Summary: Least Squares with Constraints Keywords: Least Squares, Constraints