The Quadratic Programming Solver

Example 8.1 Linear Least Squares Problem

The linear least squares problem arises in the context of determining a solution to an overdetermined set of linear equations. In practice, these equations could arise in data fitting and estimation problems. An overdetermined system of linear equations can be defined as

where , , , and . Since this system usually does not have a solution, you need to be satisfied with some sort of approximate solution. The most widely used approximation is the least squares solution, which minimizes .

This problem is called a least squares problem for the following reason. Let , , and be defined as previously. Let be the th component of the vector :

By definition of the Euclidean norm, the objective function can be expressed as follows:

Therefore, the function you minimize is the sum of squares of terms ; hence the term least squares. The following example is an illustration of the linear least squares problem; that is, each of the terms is a linear function of .

Consider the following least squares problem defined by

This translates to the following set of linear equations:

The corresponding least squares problem is:

The preceding objective function can be expanded to:

In addition, you impose the following constraint so that the equation is satisfied within a tolerance of :

You can use the following SAS statements to solve the least squares problem:

/* example 1: linear least-squares problem */
proc optmodel;
   var x1; /* declare free (no explicit bounds) variable x1 */
   var x2; /* declare free (no explicit bounds) variable x2 */
   /* declare slack variable for ranged constraint */
   var w >= 0 <= 0.2;
   
   /* objective function: minimize is the sum of squares */
   minimize f = 26 * x1 * x1 + 5 * x2 * x2 + 10 * x1 * x2
       - 14 * x1 - 4 * x2 + 2;
   
   /* subject to the following constraint */
   con L: 3 * x1 + 2 * x2 - w = 0.9;
   
   solve with qp;
   
   /* print the optimal solution */
   print x1 x2;
quit;

The output is shown in Output 8.1.1.