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On the implementation of a subset selection algorithm for the restricted least squares problem

Published online by Cambridge University Press:  17 February 2009

D. I. Clark  and
M. R. Osborne
M. R. Osborne
Affiliation:
Department of Statistics, Research School of Social Sciences, Australian National University, Canberra, A.C.T. 2600
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Abstract

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By noting that it is possible to interchange the roles of the solution vector x and the vector of Lagrange multipliers λ in the restricted least squares problem we are able to give a very efficient implementation of Clark's subset selection algorithm. Numerical results are presented for several selection heuristics.

Type
Research Article
Information
The ANZIAM Journal , Volume 22 , Issue 1 , July 1980 , pp. 2 - 11
Copyright
Copyright © Australian Mathematical Society 1980

References

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