Bounded-Variable Least-Squares : an Algorithm and Applications

@inproceedings{Stark1995BoundedVariableL,
  title={Bounded-Variable Least-Squares : an Algorithm and Applications},
  author={Philip B. Stark},
  year={1995}
}
The Fortran subroutine BVLS (bounded variable least-squares) solves linear least-squares problems with upper and lower bounds on the variables, using an active set strategy. The unconstrained least-squares problems for each candidate set of free variables are solved using the QR decomposition. BVLS has a “warm-start” feature permitting some of the variables to be initialized at their upper or lower bounds, which speeds the solution of a sequence of related problems. Such sequences of problems… CONTINUE READING
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