Selected Algorithms for the Linearly Constrained Least Squares Problem: A User's Guide

摘要

Reliable numerical methods for solving constrained least-squares problems are described. Linear least-squares problems with linear constraints are considered. The constraints may be equalities or inequalities. The form of the inequalities determines two problem classes that are discussed in the report: Problem LSEI has general inequality constraints, and Problem NNLSE has nonnegativity constraints. The first two sections of the report give selected mathematical and algorithmic details for transforming Problem LSEI to a form of Problem NNLSE. A further section deals with algorithmic details for solving Problem NNLSE. The last two sections give usage examples and instructions for two FORTRAN subprograms, LSEI ( ) and WNNLS ( ), that solve Problems LSEI and NNLSE, respectively. 2 figures. (ERA citation 05:002362)