Recommendations for a large scale bounded variable least squares (BVLS) solver for sparse matrices

2010-06-10T15:59:16Z

I'm trying to solve the BVLS problem for huge (2e6x2e6) matrices which are very sparse (4 elements per row). Does anybody have a recommendation for a free solver (preferably a library of routines)?

The BVLS problem is defined as:

$\underset{l \le x \le u}{\min} \lVert Ax - b \rVert_2^2$

Answer by alext87 for Recommendations for a large scale bounded variable least squares (BVLS) solver for sparse matrices

2010-06-12T05:31:05Z

This is such a well-solved problem that there are many software packages that have built in functions for this.

Here are a selection of built-in functions in different software packages that can be used:

In Matlab: lsqlin (type help lsqlin into Matlab and it tells you exactly what to type. I have just (approximately) solved your problem with random sparse matrices and it works great.)

KNITRO for Mathematica this package also solves this exact problem but I don't have this software so I can't tell you which exact function.

For a free solver I have found this: http://sourceforge.net/projects/quadprog/ However it assumes that $A$ has full column rank. This is just because this algorithm uses the dual problem which exists when the Hessian $A^TA$ is positive definite.

Recommendations for a large scale bounded variable least squares (BVLS) solver for sparse matrices - MathOverflow

Recommendations for a large scale bounded variable least squares (BVLS) solver for sparse matrices

Answer by alext87 for Recommendations for a large scale bounded variable least squares (BVLS) solver for sparse matrices