Linear Least Squares - GNU Octave
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### 24.4 Linear Least Squares

Octave also supports linear least squares minimization. That is, Octave can find the parameter b such that the model y = x*b fits data (x,y) as well as possible, assuming zero-mean Gaussian noise. If the noise is assumed to be isotropic the problem can be solved using the ‘`\`’ or ‘`/`’ operators, or the `ols` function. In the general case where the noise is assumed to be anisotropic the `gls` is needed.

— Function File: [beta, sigma, r] = ols (y, x)

> Ordinary least squares estimation for the multivariate model y = x*b + e with mean (e) = 0 and cov (vec (e)) = kron (s, I). where y is a t by p matrix, x is a t by k matrix, b is a k by p matrix, and e is a t by p matrix.

> Each row of y and x is an observation and each column a variable.

> The return values beta, sigma, and r are defined as follows.

> beta
>   The OLS estimator for b. beta is calculated directly via `inv (x'*x) * x' * y` if the matrix `x'*x` is of full rank. Otherwise, beta`= pinv (`x`) *` y where `pinv (`x`)` denotes the pseudoinverse of x.
> sigma
>   The OLS estimator for the matrix s,

>                      sigma = (y-x*beta)'
>                        * (y-x*beta)
>                        / (t-rank(x))

> r
>   The matrix of OLS residuals, r`=` y`-` x`*`beta.

> See also: gls, pinv.

— Function File: [beta, v, r] = gls (y, x, o)

> Generalized least squares estimation for the multivariate model y = x*b + e with mean (e) = 0 and cov (vec (e)) = (s^2) o, where y is a t by p matrix, x is a t by k matrix, b is a k by p matrix, e is a t by p matrix, and o is a t*p by t*p matrix.

> Each row of y and x is an observation and each column a variable. The return values beta, v, and r are defined as follows.

> beta
>   The GLS estimator for b.
> v
>   The GLS estimator for s^2.
> r
>   The matrix of GLS residuals, r = y - x*beta.

> See also: ols.

— Function File: x = lsqnonneg (c, d)
— Function File: x = lsqnonneg (c, d, x0)
— Function File: [x, resnorm] = lsqnonneg (...)
— Function File: [x, resnorm, residual] = lsqnonneg (...)
— Function File: [x, resnorm, residual, exitflag] = lsqnonneg (...)
— Function File: [x, resnorm, residual, exitflag, output] = lsqnonneg (...)
— Function File: [x, resnorm, residual, exitflag, output, lambda] = lsqnonneg (...)

> Minimize `norm (`c`*`x`- d)` subject to x`>= 0`. c and d must be real. x0 is an optional initial guess for x.

> Outputs:

> - resnorm

>   The squared 2-norm of the residual: norm(c*x-d)^2

> - residual

>   The residual: d-c*x

> - exitflag

>   An indicator of convergence. 0 indicates that the iteration count was exceeded, and therefore convergence was not reached; >0 indicates that the algorithm converged. (The algorithm is stable and will converge given enough iterations.)

> - output

>   A structure with two fields:

>   - "algorithm": The algorithm used ("nnls")
>   - "iterations": The number of iterations taken.
> - lambda

>   Not implemented.

> See also: optimset, pqpnonneg.

— Function File: optimset ()
— Function File: optimset (par, val, ...)
— Function File: optimset (old, par, val, ...)
— Function File: optimset (old, new)

> Create options struct for optimization functions.

— Function File: optimget (options, parname)
— Function File: optimget (options, parname, default)

> Return a specific option from a structure created by `optimset`. If parname is not a field of the options structure, return default if supplied, otherwise return an empty matrix.