Equality-constrained least-squares solver #1046
Draft
+700
−4
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Following #1044, this PR implements an equality-constrained least-squares solver based on
xGGLSE
fromlapack
.Proposed interfaces
call solve_constrained_lstsq(A, b, C, d, x [, storage, overwrite_matrices, err])
x = constrained_lstsq(A, b, C, d [, overwrite_matrices, err])
where
A
andb
define the least-squares cost, whileCx = d
define the equality constraints.Progress
Ping: @perazz, @jvdp1, @jalvesz