Linear Least Squares With 2 Inequality Constraints

Hello,

I would like to know how can I solve the following Linear Least Squares problem:

arg min(x) (Ax - b)'(Ax - b)

s.t.

Ax >= c

Ax <= d

Is there a way to it in MATLAB?

The Constrained Linear Least Squares in MATLAB only allows one inequality.

Thank You.

[John D'Errico]

It simply is not true that lsqlin only allows one constraint. READ THE HELP.

Answer 1

[Royi Avital]

I created a solution.

It can be found here:

http://math.stackexchange.com/a/1403593/33

Answer 2

[Torsten]

help lsqlin

Best wishes

Torsten.

[Royi Avital]

The Problem it handles only one inequality.

[Torsten]

[-A ; A]*x <= [-c ; d]

So choose the matrix in lsqlin as [-A ; A] and the right-hand side vector as [-c ; d].

Best wishes

Torsten.

[Royi Avital]

This is exactly what I did. But I will mark your question.

Thank You.