The Quadratic Programming Solver

Example 9.1 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

\[  \mathbf{Ax} = \mathbf{b}  \]

where $\mathbf{A} \in \mathbb {R}^{m \times n}$, $\mathbf{x}\in \mathbb {R}^ n$, $\mathbf{b} \in \mathbb {R}^ m$, and $m > n$. 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 $\|  \mathbf{Ax} - \mathbf{b}\| _2^2$.

This problem is called a least squares problem for the following reason. Let $\mathbf{A}$, $\mathbf{x}$, and $\mathbf{b}$ be defined as previously. Let $k_ i(x)$ be the kth component of the vector $\mathbf{Ax} - \mathbf{b}$:

\[  k_ i(x) = a_{i1}x_1 + a_{i2}x_2 + \cdots + a_{in}x_ n - b_ i,\;  i = 1,2,\ldots , m  \]

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

\[  \|  \mathbf{Ax} - \mathbf{b}\| _2^2 = \sum \limits _{i = 1}^ m k_ i(x)^2  \]

Therefore, the function you minimize is the sum of squares of m terms $k_ i(x)$; hence the term least squares. The following example is an illustration of the linear least squares problem; that is, each of the terms $k_ i$ is a linear function of x .

Consider the following least squares problem defined by

\[  \mathbf{A} = \left[\begin{array}{rc} 4 &  0 \\ -1 &  1 \\ 3 &  2 \end{array}\right],\quad \mathbf{b} = \left[\begin{array}{c} 1 \\ 0 \\ 1 \end{array}\right]  \]

This translates to the following set of linear equations:

\[  4x_1 = 1, \quad -x_1 + x_2 = 0, \quad 3x_1 + 2x_2 = 1  \]

The corresponding least squares problem is:

\[  \mbox{minimize} \quad (4x_1 -1)^2 + (-x_1 + x_2)^2 + (3x_1 + 2x_2 -1)^2  \]

The preceding objective function can be expanded to:

\[  \mbox{minimize} \quad 26x_1^2 + 5x_2^2 + 10 x_1x_2 - 14 x_1 -4x_2 + 2  \]

In addition, you impose the following constraint so that the equation $3x_1 + 2x_2 = 1$ is satisfied within a tolerance of $0.1$:

\[  0.9 \leq 3x_1 + 2x_2 \leq 1.1  \]

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 9.1.1.

Output 9.1.1: Summaries and Optimal Solution

The OPTMODEL Procedure

Problem Summary
Objective Sense Minimization
Objective Function f
Objective Type Quadratic
   
Number of Variables 3
Bounded Above 0
Bounded Below 0
Bounded Below and Above 1
Free 2
Fixed 0
   
Number of Constraints 1
Linear LE (<=) 0
Linear EQ (=) 1
Linear GE (>=) 0
Linear Range 0
   
Constraint Coefficients 3

Performance Information
Execution Mode On Client
Number of Threads 4

Solution Summary
Solver QP
Algorithm Interior Point
Objective Function f
Solution Status Optimal
Objective Value 0.0095238095
Iterations 4
   
Primal Infeasibility 0
Dual Infeasibility 3.940437E-17
Bound Infeasibility 0
Duality Gap 7.425058E-17
Complementarity 0

x1 x2
0.2381 0.1619