Chapter 21. Least Squares Solutions (.NET, C#, CSharp, VB, Visual Basic, F#)
NMath includes least squares classes for solving the overdetermined linear system:
In a linear model, a quantity y depends on one or more independent variables a1, a2,...,an such that y = x0 + x1a1 + ... + xnan. The goal of a least squares problem is to solve for the best values of x0,x1,...,xn. The least squares solution is the value of x that minimizes the residual vector ||Ax - y||.
NMath provides classes for:
● ordinary least squares (OLS)
● weighted least squares (WLS)
● iteratively reweighted least squares (IRLS)
This chapter describes the NMath least square classes, and how to construct and use them.