Bounded-variable least-squares: an algorithm and applications
type: Item
instance of: scholarly article
title: Bounded-variable least-squares: an algorithm and applications
zbMATH Open document ID: 0938.62074
author: Philip B. Stark
author: R. L. Parker
published in: Computational Statistics
publication date: 2000-03-02T00:00:00Z
review text: The bounded-variable least-squares algorithm (BVLS) which solves linear least-squares problems with upper and lower bounds on the variables is described. BVLS is used also to find bounds for linear functionals of a model constrained to satisfy, in approximate \(l_p\)-norm sense, a set of linear equality constraints in addition to upper and lower bounds. It is shown how to use BVLS to solve that problem when \(p=1,2\) or \(\infty\), and to solve minimum \(l_1\) and \(l_\infty\) fitting problems. A variety of applications of BVLS is described and such features of this algorithm as numerical stability and computational efficiency are emphasized. The BVLS algorithm is implemented as a Fortran subroutine and is available from the \textit{statlib gopher} at Carnegie Mellon University.
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62F30
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62-04
zbMATH DE Number: 1409695
zbMATH Keywords: optimization
zbMATH Keywords: constrained least-squares
zbMATH Keywords: l1 regression
zbMATH Keywords: l\(\infty\) regression
describes a project that uses: BVLS
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1409695