Linear least squares problems with box constraints are commonly solved to find model parameters within bounds based on physical considerations. Common algorithms include Bounded Variable Least Squares (BVLS) and the Matlab function lsqlin. Here, the goal is to find solutions to ill-posed inverse problems that lie within box constraints. To do this, we formulate the box constraints as quadratic constraints, and solve the corresponding unconstrained regularized least squares problem. Using box constraints as quadratic constraints is an efficient approach because the optimization problem has a closed form solution.
The effectiveness of the proposed algorithm is investigated through solving three benchmark problems and one from a hydrological application. Results are compared with solutions found by lsqlin, and the quadratically constrained formulation is solved using the L-curve, maximum a posteriori estimation (MAP), and the χ2 regularization method. The χ2 regularization method with quadratic constraints is the most effective method for solving least squares problems with box constraints.
This is an author-produced, peer-reviewed version of this article. © 2009, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (https://creativecommons.org/licenses/by-nc-nd/4.0/). The final, definitive version of this document can be found online at Linear Algebra and its Applications, doi: 10.1016/j.laa.2009.04.017
Jodi Mead and Rosemary A. Renaut. "Least Squares Problems with Inequality Constraints as Quadratic Constraints" Linear Algebra and Its Applications
Available at: http://works.bepress.com/jodi_mead/1/