Linear least squares with box constraints

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Linear least squares with box constraints

Postby Numsgil » Tue Jan 04, 2011 10:04 pm

I apologize if this is slightly off topic for the forum, but I'm not sure of a better place to ask :)

I'm trying to solve a sparse linear least squares problem with box constraints (that is, the variables is bounded above or below (or entirely unbounded, if the bounds are (-infinity,infinity)). As a start, I figured I'd solve it as a dense linear least squares problem with box constraints.

I don't think this is something LAPACK does(?) Does anyone know any packages that can solve this type of problem? I can also turn the problem into a combination of an unconstrained linear least squares (which I know LAPACK can solve) with a linear complementarity problem, so if someone knows a package to solve linear complementarity problems that would work, too. I've been scouring the internet for a few days but I don't think I'm making much progress.

Thanks!
Numsgil
 
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