Click or drag to resize

ConstrainedLeastSquares Class

Class for solver constrained least squares problems.
Inheritance Hierarchy
SystemObject
  CenterSpace.NMath.CoreConstrainedLeastSquares

Namespace:  CenterSpace.NMath.Core
Assembly:  NMath (in NMath.dll) Version: 7.4
Syntax
[SerializableAttribute]
public class ConstrainedLeastSquares : ICloneable

The ConstrainedLeastSquares type exposes the following members.

Constructors
  NameDescription
Public methodConstrainedLeastSquares
Constructs an instance of ConstrainedLeastSquares.
Top
Properties
  NameDescription
Public propertyIterations
Gets the number of iterations performed by the most recent solve.
Public propertyResidualNorm
Gets the Euclidean norm of the Residual vector. You must call one of the Solve methods before accessing.
Public propertyResiduals
Gets the vector of residuals for the computed solution Residuals = Ax - b, where x is the computed solution. You must call one of the Solve methods before accessing.
Public propertyX
Gets the calcluated solution of the most recently solved constrained least squares problem. You must call one of the Solve methods before accessing.
Top
Methods
  NameDescription
Public methodClone
Returns a deep copy of self.
Public methodStatic memberGetQuadraticProblem
Reformulates the given constrained least squares problem as a Quadratic Programming problem.
Public methodSolve(ConstrainedLeastSquaresProblem)
Solves the given least squares problem using the default quadratic programming solver.
Public methodSolve(ConstrainedLeastSquaresProblem, ActiveSetQPSolver, DoubleVector)
Solves the given least squares problem using an active set quadratic programming solver.
Public methodSolve(ConstrainedLeastSquaresProblem, InteriorPointQPSolver, InteriorPointQPSolverParams)
Solves the given least squares problem using an interior point quadratic programming solver.
Top
Remarks
Minimize ||Ax - b||^2 /// Subject to
ai'x = bi, for i in E,
ai'x >= bi, for i in I

where A is an mxn matrix, b is an m-vector, each ai is an n-vector and each bi is a scalar. ||.||^2 denotes the Euclidean norm squared.
See Also