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Re: Weigthened least squares
Posted:
Jul 3, 2013 4:59 AM


> Hello, > > I have the following Equality: > > A^T D A x = A^T D b > > where A has many rows, but only five colums > > D is a square diagonal matrix (Weights) > > b is a column vector > > and x is solved for > > > According to my source text, this is the solution of > a particular weighted least squares problem. > > My question, is it possible to express this as an > overdetermined system, which is solved in the least > squares sense? > > like > > D_1 A x = D_2 b > > ??
The underlying overdetermined system is given by sqrt(D)*(A*xb) = 0
Best wishes Torsten.



