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

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Posts: 1,717
Registered: 11/8/10
Re: constrained regression/optimization
Posted: Feb 1, 2013 8:05 AM
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"Jelena Ivanovic" <> wrote in message <keefrt$m0f$>...
> 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?
> Many thanks,
> Jelena

c1=a and c2=(1-a)*b,
your expression for X becomes
Thus you want to minimize the norm of
under the constraints
c1 >= 0
1-c1 >= 0
c2 >= 0
1-c1-c2 >= 0

After solving the above problem, you can recover a and b via
a=c1, b=c2/(1-c1)

Best wishes

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