Article View: sci.math.stat
Article #713LS with linear constraints
From: hang-yue ngo
Date: Fri, 20 Nov 1992 18:23
Date: Fri, 20 Nov 1992 18:23
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969 bytes
I have a problem: minimize (Y - Xb)'(Y - Xb) with respect to b
subject to Cb = d. b is a px1 vector and C is a qxp matrix.
The matrix X may not be full rank (i.e., rank(X) = r < p).
A solution is given in Kennedy and Gentle, the solution is
b = (X'X + C'C)^{-1} X'Y.
Can anyone show me other methods/solutions to this constrained
LS problem? Thanks in advance.
H.Y. Ngo
ngo1@midway.uchicago.edu
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<1992Nov20.182350.8925@midway.uchicago.edu>Path:
arc1-ca.pugleaf.net!sparky!uunet!zaphod.mps.ohio-state.edu!cis.ohio-state.edu!pacific.mps.ohio-state.edu!linac!uchinews!quads!ngo1Show Full Headers
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Newsgroups: sci.math.stat Path: arc1-ca.pugleaf.net!sparky!uunet!zaphod.mps.ohio-state.edu!cis.ohio-state.edu!pacific.mps.ohio-state.edu!linac!uchinews!quads!ngo1 From: ngo1@quads.uchicago.edu (hang-yue ngo) Subject: LS with linear constraints Message-ID: <1992Nov20.182350.8925@midway.uchicago.edu> Followup-To: ngo1@midway.uchicago.edu Keywords: least squares Sender: news@uchinews.uchicago.edu (News System) Reply-To: ngo1@midway.uchicago.edu Organization: University of Chicago Distribution: usa Date: Fri, 20 Nov 1992 18:23:50 GMT Lines: 15