Questions tagged [least-squares]

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60 views

Update for QR factorization least squares

I found after some research that the most numerically stable way to solve the least squares problem is through QR factorization. For $n$ number of observations and $p$ number of parameters it takes ...
2
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2answers
128 views

Cholesky decomposition vs LDL decomposition

In different books and on Wikipedia, you can see mentions of Cholesky decomposition and only sometimes of LDL decomposition. As far as I understand, LDL decomposition can be applied to a broader ...
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1answer
37 views

How to properly compute weights for Weighted Least Squares (WLS)?

I want to apply the weighted least squares method in order to identify parameters of a dynamic process. The process is described by a second order differential equation of the form: $$ \ddot{y}+a_1\...
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2answers
47 views

Augmented Dickey Fuller (ADF) test statistics GPU formulation

I have followed different sources of information and achieved the following formulation for the ADF $t$ test statistics. I implemented it to run several hundred thousands of ...
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1answer
36 views

Nonlinear least squares resolution matrix

For a linear least squares problem, it is possible to define a resolution matrix, relating the estimated model parameters to the true model parameters. If we are solving a regularized problem, $$ \...
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0answers
40 views

Fitting a plane with the Prewitt gradient operator

Prewitt gradient operator Show that the Prewitt gradient operator can be obtained by fitting the least-squares plane through the 3 × 3 neighborhood of the intensity function. Hint: Fit a plane to ...
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41 views

Nonlinear least squares optimized Jacobian calculation

I have a nonlinear least squares problem, in which I am trying to minimize residuals which can be divided into four classes: $$ \min_x ||\epsilon(x)||^2 + ||\xi(x)||^2 + ||\delta(x)||^2 + ||s(x)||^2 $$...
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1answer
48 views

Spline regularization

I am fitting some B-splines to data, but the data has a "gap" region where the spline is less constrained by the data. I want to devise a regularization scheme to help prevent the spline from ...
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105 views

“Geometry of ill-conditioning” for least-squares problems

It is an idea that dates back to Demmel, 1987 that the condition number of a problem is often related to the distance to the closest ill-posed problems. In Section 3 of the above paper, the author ...
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21 views

Offline Parameter Estimation for second order system - Ordinary Least Squares

I have a second order system which is described by the following differential equation: $\ \ddot{y}+α_{1}*\dot{y}=b_{0}*u $ where $\ y $ is the output of the system and $\ u $ is the input of the ...
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2answers
195 views

Fastest algorithm for pseudoinverse of skinny matrices

For a performance-sensitive problem, I need to compute the pseudoinverse of a skinny matrix (#rows = 1000–10000, #cols= 10–20). I already employ the traditional SVD econ method. For some problem ...
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46 views

Least square approximation of a polynomial with a constraint on the derivative in Python

I'm trying to fit a polynomial of the third degree through a number of points. This could be a very simple problem when not constraining the derivative. I found some promising solutions using CVXPY to ...
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1answer
85 views

What is a good library in Python for correlated fits in both the $x$ and $y$ data?

I have $x$ and $y$ data, both of which have their own covariance matrices. scipy.optimize.curve_fit will accept a covariance matrix for the $y$ data, called ...
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1answer
109 views

Preconditionning for solving a non-linear system of equations with least squares

I am trying to solve a large system of non-linear equations (about a few hundred equations and variable but with less variable than equations). Given that the system is really sparse and large I am ...
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0answers
109 views

Regularized least squares with QR factorization

Consider the regularized least squares problem $$ \min_x || b - A x ||^2 + \lambda^2 ||x||^2 $$ which is equivalent to $$ \min_x \left|\left| \pmatrix{b \\ 0} - \pmatrix{A \\ \lambda I} x \right|\...
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1answer
139 views

How to use LAPACK function (DGELSY) in Fortran

I am trying to use Least Squares Minimization to solve a the matrix problem: b = A*x for x. The system is overdetermined, and A is a dense matrix. In the LAPACK library, I believe the routine DGELSY ...
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1answer
106 views

Pivoted Cholesky vs Modified Cholesky

I am solving nonlinear least squares problems with the normal equations approach, so on each iteration, I need to solve: $$ J^T J \delta = -J^T f $$ for the step $\delta$, where $J$ is a large (...
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43 views

Parameter estimation using fmincon

This is a follow up to my previous question posted here. I am solving an optimization problem using fmincon in MATLAB. There are no equality constraints in my model....
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0answers
45 views

Parameter estimation using shooting method

I want to do the following, I have a set of 20 first order differential equations and I want to estimate some of the parameters. I've got the following initial and boundary conditions. The initial ...
2
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1answer
124 views

Formulation of the least-squares parameter estimation problem

I have a system of 10 ordinary differential equations of the form, $$\frac{dy_1}{dt} = f1(V1,k1,y1,y2)\\ \vdots \\ \frac{dy_{10}}{dt} = f_{10}(V_{10},k_{10},y_{9},y_{10}) $$ I want to estimate the ...
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1answer
23 views

Minimize squared error of linear function

Let $M$ be a $m \times n$ matrix, $x$ a $n$-vector, $y$ a $m$-vector, and $\|\cdot\|_2$ represent the $L_2$ norm (i.e., Euclidean norm). Given $M,y$, the goal is to find $x$ that minimizes the ...
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1answer
64 views

Correct weighting in least squares fitting

I am trying to fit some data points $d_i$ to a non-linear model function $m_i$, which depends on a number of fit parameters $f_k$ (I want to determine these) and also on some known, constant values $...
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149 views

Nonlinear least squares and regularization

Consider the nonlinear least-squares minimization of a vector of $n$ residuals $\mathbf{f}$ in $p$ parameters $\mathbf{x}$: $$ \min_{\mathbf{x}} || \mathbf{f}(\mathbf{x}) ||^2 $$ This can be done with ...
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1answer
132 views

Minimize cost with Levenberg-Marquart method

I want to minimize a cost function of the form, $$ \min_{q,t}\left(q^T\left(\mathcal A + \mathcal B\right)q + t^T\mathcal C t+\delta t+\varepsilon Q(q)^TW(q)t+\lambda\left(1-q^Tq\right)^2\right) $$ ...
3
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1answer
87 views

Nonlinear least squares when some parameters are linear

Consider the least squares problem, $$ \min_{\mathbf{a},\mathbf{b}} || \mathbf{f}(\mathbf{a},\mathbf{b})||^2 $$ where $\mathbf{a},\mathbf{b}$ represent the unknown parameters to be found. In my ...
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0answers
42 views

B-splines least squares with equality constraints

Can someone recommend the best way to solve a least squares fitting problem with B-splines, with additional equality constraints? I want to solve: $$ \min_x || b - A x ||^2, \textrm{subject to: } C x =...
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0answers
38 views

Reweighted least squares factorization

This is a continuation of the question asked here. I want to solve numerous least squares systems of the form $$ D_i A x \approx D_i b $$ where $D_i$ are $m \times m$ diagonal matrices with positive ...
4
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1answer
74 views

Method to Efficiently Solve “Centered” Least Squares without centering “A”

Suppose I want to solve $$\text{arg min}_x \frac{1}{2}\|\tilde{A}x - b\|_2^2 + \frac{1}{2}\|x - c\|_2^2$$ where $A$ is a wide sparse matrix and $\tilde{A} = A C_n = A (I - \mathbf{1}\, \mathbf{1}^T/...
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0answers
276 views

Convergence of a very large non-linear least squares optimization

(note: I also posted this question on stackoverflow before finding this community here, which seems a better place for it) I'm trying to solve the following problem: I have a lot (~80000) surface ...
7
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1answer
210 views

Least Squares with Dense-Block Diagonal Structure

I need to solve a least squares problem that takes the following form: $$p = \arg \min_{x}\Vert J V x - y \Vert_2, $$ where $J \in \mathbb{R}^{N \times N}$ is a general dense matrix, and $V \in \...
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1answer
198 views

How to solve the following Frobenius norm-minimization problem?

Background We know how to solve the following minimization problem $$ \min_{X} \lVert AX - B \rVert_F^2 $$ But what about the extended version? $$ \min_{X} \lVert A \begin{bmatrix} X & X^2 \...
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30 views

How to model a non-linear least-squares problem for triangles

I have a non-linear least-squares problem to solve and with my current modeling the solver is either very slow or does not converge to a correct solution. For the problem I need to minimize an energy ...
3
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1answer
195 views

How to solve the inverse problem of least-squares?

Focusing on following least squares problem: $$\min\limits_{V} \lVert Z - WV \rVert _{_F}^2$$ $$Z∈{R}^{m\times n},\quad W∈{R}^{m\times k},\quad V∈{R}^{k\times n},\quad k\lt m\lt n $$ This problem ...
4
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2answers
192 views

treating “almost linear” nonlinear least-squares problems

As a model for a nonlinear least-squares problem with a large linear part problem, consider $$ \Delta u = 0 \quad\text{in } \Omega,\\ n\cdot\nabla u = 0 \quad \text{on } \Gamma,\\ (u(x_i) - u(y_i))^2 =...
4
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1answer
118 views

Nonlinear least-squares solvers vs. generic minimization

A nonlinear least-squares problem with $F:\mathbb{R}^m\to\mathbb{R}^n$, $$ F(x) \to \min_x \quad (\text{in the least-squares sense}) $$ really means minimizing $$ \frac{1}{2} \|F(x)\|^2 \to \min_x. $$ ...
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1answer
106 views

Using least squares for computing gradients

I am developing a code where I am using the least squares method to compute gradients. Generally, we use least squares to obtain some model based on a set of data (${q_1 \cdots q_N}$) at locations ($...
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0answers
34 views

fitting exponential versus exponential w/ power

I have two models which I would like to investigate for my data. One form is: \begin{equation} \label{one} f(r) = A e^{-B r} \end{equation} and the second is: \begin{equation} \label{two} g(r)...
3
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1answer
132 views

Obtaining a feasible solution for underdetermined system of linear equations satisfying inequality constraints

I would like to obtain a feasible solution for an under-determined system of linear equations, $$Ax=b$$ where, $A \in \mathbb{R}^{7\times9}, \, x \in \mathbb{R}^{9\times1}\text{and } b\in\mathbb{R}^...
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0answers
65 views

Stable Method of orthogonal projection onto a subspace with the help of Moore-Penrose inverse,

Projection of a vector $v$ onto the column space of a matrix $A$ is given by $AA^\dagger v$. From the definition of Moore-Penrose Inverse we know that $AA^\dagger v = (A^T)^\dagger A^T v $. Below is ...
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0answers
79 views

Backward stable algorithm to get orthogonal projection onto the column space of a matrix

I have to find the orthogonal projection of a vector $b$ onto the matrix $A$ of size $m \times n$. In my application, I don't have the luxury of calculating the QR factorization. All I have are ...
2
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1answer
134 views

Solving sparse least squares system with limited memory

This was a question on a past final that we can't figure out. Take the least squares system $$\min_x ||Ax-b||_2\, ,$$ where $A\in\mathbb{R}^{mxn}$, $m<n$, and A is full rank. A has $\mathcal{O}(n)...
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2answers
56 views

Finding parameters numerically

I suspect that a function $f(x,y)$ is of the form $f(x,y)=a(bx+c)^{dy+e}$. I have access to several values of $f(x,y)$. How do I proceed numerically to find the parameters $\{a,b,c,d,e\}$? By ...
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1answer
187 views

Linear Least-Squares Point-to-Plane ICP degenerative case

I'm trying to implement Linear Least-Squares Optimization for Point-to-Plane ICP Surface Registration Paper describes linear approximation for point to plane distance for rigid ICP. This approach is ...
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1answer
70 views

Solving for $C$ in $Q = YCZ$ using least squares in Matlab

I am trying to solve for the matrix $C$ in $Q = YCZ$ in matlab. I have preliminary results but they don't seem realistic. Here, $Q$ is $n \times m-1$, $Y$ is $n \times p$, $C$ is $p \times m$ and $Z$ ...
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0answers
141 views

Solve ill-posed linear system without transposing matrices?

I am attempting to use an iterative solver to solve $p$ in $$ Jp = -r $$ where $J$ is an $m\times m$ matrix ($m$ is in the order of $10^5$ and never explicitly stored). $J$ is a dense matrix ...
2
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1answer
86 views

Description of algorithm for small scale linear least squares with box constraints

I have small scale dense least squares problem with box constraints $$\mbox{argmin}||Ax - b||^2 \quad $$ $$\mbox{subject to} \quad l_i \leq x_i \leq u_i,$$ Number of variables is about 10-50, ...
3
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1answer
73 views

Solving multiple least-square problems with the same constraints

The following least-square problem can be solved efficiently (e.g. using matlab's lsqlin): $$\vec{x}^*=\arg\min_\vec{x} ||C\vec{x}-\vec{t}||^2\,\ s.t.\ Ax \le \vec{b}$$ where the parameters of the ...
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2answers
43 views

Optimisation of purely integer quantity with bound-constraints for a 1D expensive function whose analytical form is not available

I have a computationally expensive objective function, whose analytical form is not available. The only input argument to the objective function is an integer variable. The goal is to compute the ...
1
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1answer
128 views

Least square with rectangular function

I have the function $c(t) = A \cdot \cos \left(\dfrac{2\pi}{\tau} \cdot t + \phi \right) $ which is used to define $ T(t) = \begin{cases} M + c(t), & c(t) > 0 \\ M, &c(t) \leq 0. \end{...
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3answers
1k views

Least Squares: Numerically, is solving normal equations okay for nice matrices?

I have to solve a least squares problem: $$ x=\arg \min\|Ax-b\| $$ where $A$ is a $m\times n$ matrix, $m>n$, and $b\in\mathbb{R}^m$. I always thought that doing this via QR factorization is ...