Quantcast
Channel: Machine Learning
Viewing all articles
Browse latest Browse all 63240

Help with a variant of linear least-squares (x-post from /r/statistics)

$
0
0

In some work I am doing right now, I am trying to solve a variation of the standard least squares linear regression. Suppose I have a set [; Y ;] of data vectors [; y ;]. Instead of minimizing the residual of some linear estimator, [; \sum_{y \in Y}||y - A x||^2 ;], I'm trying to minimize the squared difference between each data vector and it's projection onto the span of a single vector, [; \sum_{y \in Y}||y - dd^t y||^2 ;], where [; d ;] is a unit vector. That is, I need to solve

[; d^* = argmin_d \sum_{y \in Y}||y - dd^t y||^2 ;]

subject to [; ||d||^2 = 1 ;]

I would be very surprised if this wasn't already solved, but for some reason I am having trouble finding it and I can't quite seem to figure it out myself. Can anyone point me in the right direction?

submitted by Splanky222
[link][2 comments]

Viewing all articles
Browse latest Browse all 63240

Trending Articles