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Topic: constrained regression/optimization
Replies: 2   Last Post: Feb 1, 2013 8:05 AM

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Matt J

Posts: 4,996
Registered: 11/28/09
Re: constrained regression/optimization
Posted: Jan 31, 2013 2:58 PM
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"Jelena Ivanovic" <ivanovic.jelena@yahoo.com> wrote in message <keefrt$m0f$1@newscl01ah.mathworks.com>...
> Dear all,
>
> I am relatively new Matlab user, and I need to find a solution for coefficients a and b in the following equation:
>
> X=a*Y + (1-a) * [Z + b*Q + (1-b) * W]
>
> where:
>
> - X, Y, Z, Q and W are data vectors;
> - constant should ideally be equal to zero (but this isn't necessary);
> - 1-a, b and 1-b all need to be positive.
>
> Is there maybe something that could be done with lsqlin from the Optimization toolbox?

==================

Yes. You can rewrite this as

min. norm([Y Z Q W]*c - X)
s.t.
c(1)+c(2)=1;
c(3)+c(4) - c(2)=0;
c(i)>=0

Now it is exactly in the form requested by LSQLIN



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