Linear Least Squares (mathematics)

Linear Least Squares (mathematics)

In statistics and mathematics, linear least squares is an approach to fitting a mathematical or statistical model to data in cases where the idealized value provided by the model for any data point is expressed linearly in terms of the unknown parameters of the model. The resulting fitted model can be used to summarize the data, to predict unobserved values from the same system, and to understand the mechanisms that may underlie the system.

Mathematically, linear least squares is the problem of approximately solving an overdetermined system of linear equations, where the best approximation is defined as that which minimizes the sum of squared differences between the data values and their corresponding modeled values. The approach is called "linear" least squares since the solution depends linearly on the data. Linear least squares problems are convex and have a closed-form solution that is unique, provided that the number of data-points used for fitting equals or exceeds the number of unknown parameters, except in special degenerate situations. In contrast, non-linear least squares problems generally must be solved by an iterative procedure, and the problems can be non-convex with multiple optima for the objective function.

In statistics, linear least squares problems correspond to a particularly important type of statistical model called linear regression which arises as a particular form of regression analysis. One basic form of such a model is an ordinary least squares model. The present article concentrates on the mathematical aspects of linear least squares problems, with discussion of the formulation and interpretation of statistical regression models, and of statistical inferences related to these are dealt with in the articles just mentioned. See outline of regression analysis for an outline of the topic.

Read more about Linear Least Squares (mathematics):  Motivational Example, The General Problem, Derivation of The Normal Equations, Computation, Properties of The Least-squares Estimators, Weighted Linear Least Squares, Objective Function, Constrained Linear Least Squares, Typical Uses and Applications, Further Discussion

Famous quotes containing the word squares:

    An afternoon of nurses and rumours;
    The provinces of his body revolted,
    The squares of his mind were empty,
    Silence invaded the suburbs,
    —W.H. (Wystan Hugh)