Least Squares

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When a matrix A is square with full rank, there is a vector that satisfies the equation
for any
. However, when A is not square or does not have full rank, such an
may not exist, because b does not lie in the range of A. In this case, called the least squares problem, we seek the vector x that minimizes the length (or norm) of the residual vector
. The four vectors
,
,
, and
are color coded and the plane is the range of the matrix
. The plane shown is the set of all possible vectors
.
Contributed by: Chris Maes (March 2011)
Open content licensed under CC BY-NC-SA
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"Least Squares"
http://demonstrations.wolfram.com/LeastSquares/
Wolfram Demonstrations Project
Published: March 7 2011