EE103 Section 6

# EE103 Section 6 - EE103 Winter 2009 Lecture Notes(SEJ...

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EE103 Winter 2009 Lecture Notes (SEJ) Section 6 111 SECTION 6: INTRODUCTION TO LEAST SQUARES APPROXIMATION (with Application to Polynomial Approximation) ............................................................... 112 Linear Least Squares (LLS) ..................................................................................... 112 Example 1 (Polynomial linear least squares approximation) ........................... 113 Example 2: (Multiple linear regression) ............................................................. 115 Example 3 (Numerical example of polynomial approximation) ....................... 116 Geometric Interpretation and Orthogonality ........................................................ 117 The Gram-Schmidt Process and QR Factorization ............................................... 120 Examples of Classic and Modified Gram-Schmidt, and Choleski Implementations .................................................................................................... 123

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EE103 Winter 2009 Lecture Notes (SEJ) Section 6 112 SECTION 6: INTRODUCTION TO LEAST SQUARES APPROXIMATION (with Application to Polynomial Approximation) Consider the system of linear equations A xb = where A is mxn, m > n, and the columns of 12 n Aaa a , ,,, " , are linearly independent (i.e., rank A = n ). Such a system of equations usually has no solution. We define, for a given n x R , the error vector ex A x b = () The minimum norm problem is the problem of choosing an n x R that minimizes the norm of the error, ||() || . For the purposes of these notes, the only norms that are of concern are the following: {} 1 1 2 2 1 1, , 1. 2. 3. max n i i n t i i i in zz z z = = = = == = " The minimum error problem is, therefore, n xR min ||() || Linear Least Squares (LLS) Least-squares problems are those for which the norm is the Euclidean norm 2 T z = || || In this case we may write 22 1 nn n n m T i i ex ex e x ∈∈ = ⇔= = min ( ) ( ) min ( ) That is, if the Euclidean norm is used, we choose an x that minimizes the sum of the squared errors; hence the term “least squares”. Let 2 2 T f xe x e x e x () () () ; we wish to minimize f x and, of course, if x is a minimizer, then x must satisfy the vector equation 0 fx =
EE103 Winter 2009 Lecture Notes (SEJ) Section 6 113 When this vector equation is linear in the unknowns, x , we have a so-called linear least squares problem. For the remainder of this section, we will focus on the linear least squares problem. Now, 2 22 TT T T t T T f x e x e x Ax b Ax b x A Ax b Ax b b fx xAA bA == = + ⇒∇ = () () () ( )( ) () . Therefore, 0 T f xx A A b A ∇= = or, by taking the transpose of this latter equation, AA x Ab = These equations are called the normal equations , and we'll soon learn of the meaning of that term. T is x nn , nonsingular, and positive definite. Therefore, mathematically 1 x AA Ab = (this is a mathematical expression and is not to be used for computation). Since the columns of A are linearly independent, the matrix T is PD (Positive Definite) and therefore Choleski's method may be employed to factor T as AA LL = where L is a lower triangular matrix. Given this Choleski factorization, the equation LL x A b = may be simply solved by forward and back substitution: solves by forward substitution solves by back substitution T T yL y A b xL x y = = , . Example 1 (Polynomial linear least squares approximation) (Polynomial linear least squares approximation): We wish to approximate the n data points 11 2 2 x yx y x y (, ) , , , " with an th m degree polynomial 1 0 mm Px ax a x ax a =+ + + + " where 1 mn ≤− .

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## This note was uploaded on 03/30/2009 for the course EE 103 taught by Professor Vandenberghe,lieven during the Winter '08 term at UCLA.

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EE103 Section 6 - EE103 Winter 2009 Lecture Notes(SEJ...

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