Need Help - Constrained linear least square optimization C/C++ code

[navon2]

Hi
I need to find x that will minimize Ax-b=0, under the inequality
constraints Cx<d.
Actually the constraints in my problem are only upper and lower bounds
to x values.
x is 4x1 vector, A is about 100x4 (and b is of course 100x1(.
What is the appropriate algorithm?
Is there any C / C++ code available?

I succeeded solving the non-constrained problem with SVD, but some
times it give non-legal solution.

Thanks a lot in advance
Ariel

 

[Victor Bazarov]

Hi
I need to find x that will minimize Ax-b=0, under the inequality
constraints Cx<d.
Actually the constraints in my problem are only upper and lower bounds
to x values.
x is 4x1 vector, A is about 100x4 (and b is of course 100x1(.
What is the appropriate algorithm?

Have you tried asking in 'comp.programming'? This is not a C++
language question.

Is there any C / C++ code available?

Maybe. Have you tried Google?

[..]

V

 

[AnonMail2005]

Hi
I need to find x that will minimize Ax-b=0, under the inequality
constraints Cx<d.
Actually the constraints in my problem are only upper and lower bounds
to x values.
x is 4x1 vector, A is about 100x4 (and b is of course 100x1(.
What is the appropriate algorithm?
Is there any C / C++ code available?

I succeeded solving the non-constrained problem with SVD, but some
times it give non-legal solution.

Thanks a lot in advance
Ariel

Google LAPACK which is open source FORTRAN math library. It has
links to language wrappers like C if you don't want to do the
wrapper yourself.

Also, the Numerical Recipes book is a good general resource. It
references other libraries like the above both free and commercial.

HTH