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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
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[SerializableAttribute]
public class ConstrainedLeastSquares : ICloneable

The ConstrainedLeastSquares type exposes the following members.

Constructors
 NameDescription
Public methodConstrainedLeastSquares Constructs an instance of ConstrainedLeastSquares.
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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.
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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.
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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