Linear least squares with bounds and linear constraints

Journal Article · Tue Jul 01 00:00:00 EDT 1986 · SIAM J. Sci. Stat. Comput.; (United States)

DOI:https://doi.org/10.1137/0907055· OSTI ID:5307272

Hanson, R J

An algorithm is given for solving linear least squares systems of algebraic equations subject to simple bounds on the unknowns and (more general) linear equality and inequality constraints. The method used is a penalty function approach wherein the linear constraints are (effectively) heavily weighted. The resulting system is then solved as an ordinary bounded least squares system except for some important numerical and algorithmic details. This report is a revision of an earlier work. It reflects some hard-won experience gained while using the resulting software to solve nonlinear constrained least squares problems.

• Research Organization: Sandia National Labs., Albuquerque, NM 87185
• OSTI ID: 5307272
• Journal Information: SIAM J. Sci. Stat. Comput.; (United States), Journal Name: SIAM J. Sci. Stat. Comput.; (United States) Vol. 7:3; ISSN SIJCD
• Country of Publication: United States
• Language: English

Related Subjects

99 GENERAL AND MISCELLANEOUS
990200* -- Mathematics & Computers
ALGORITHMS
COMPUTER CALCULATIONS
COMPUTER CODES
EQUATIONS
LEAST SQUARE FIT
MATHEMATICAL LOGIC
MAXIMUM-LIKELIHOOD FIT
NONLINEAR PROBLEMS
NUMERICAL SOLUTION