IE170 Lab #12
Prof. Linderoth
IE 170 – Lab #12: Least Squares
Due: May 4, 2007
1
Description and Objectives
In this (our final) lab, you will put together many of the matrix operations that you have
learned to produce an application that can solve Least Squares problems from scratch.
This is a farily involved lab. (Sorry.) But on the bright side, you will have a good while to
finish it.
Lab Objectives
1. Understand
DenseMatrix
class operations from previous lab.
2. Implement a Cholesky Factorization routine for solving (dense) symmetric positive def
inite linear systems
3. Understand how to use the Cholesky Factorization to solve a linear system
4. Learn how to create the
normal equations
that are required for a least squares curve
fitting, including operations for matrix transpose
5. Solve the linear system(s) necessary to perform a leastsquares curve fitting
2
Cholesky Decomposition
Our first step towards our goal of having a least squares solver is to build a class that can
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 Spring '07
 Ralphs
 Linear Algebra, Cholesky Decomposition, Systems Engineering, Linear least squares, Positivedefinite matrix, Prof. Linderoth

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