Bounded least squares
Bounded least squares
blf2(A, b, c, delta, l, u)
A |
Design Matrix |
b |
Right hand side |
c |
matrix weight on x |
delta |
tolerance |
l |
lower bound |
u |
upper bound |
Solves the problem: min/max c'*x where || Ax-b || <= delta and l <= x <= u.
x |
solution |
Jonathan M. Lees<jonathan.lees@unc.edu>
Aster, R.C., C.H. Thurber, and B. Borchers, Parameter Estimation and Inverse Problems, Elsevier Academic Press, Amsterdam, 2005.
Stark, P.B. , and R. L. Parker, Bounded-Variable Least-Squares: An Algorithm and Applications, Computational Statistics 10:129-141, 1995.
### set up an inverse problem:Shaw problem n = 20 G = shawG(n,n) spike = rep(0,n) spike[10] = 1 spiken = G %*% spike wts = rep(1, n) delta = 1e-03 set.seed(2015) dspiken = spiken + 6e-6 *rnorm(length(spiken)) lb = spike - (.2) * wts ub = spike + (.2) * wts dspiken = dspiken blf2(G, dspiken, wts , delta, lb, ub)
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