Solving weighted least squares problem with linear constraints
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I am trying to solve a weighted least squares problem with both linear inequality and linear equality constraints. Which Matlab function should I use?
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John D'Errico
on 2 Jul 2015
No need to rewrite the problem into a form that quadprog can solve. Use lsqlin (optimization toolbox also). It does exactly what you wish.
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John D'Errico
on 2 Jul 2015
Yes. Of course, if the weights are just a vector w, then diag(sqrt(w)) will suffice to build the multiplier. And if you have a big problem, then I would either make the W matrix a sparse one for faster multiplies, or I would use bsxfun to scale the rows of C. These are all minor issues unless you have a big problem or you are solving many such problems.
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