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Least squares solution in the presence of known covariance



x = lscov(A,b) returns the ordinary least squares solution to the linear system of equations A*x = b, i.e., x is the n-by-1 vector that minimizes the sum of squared errors (b - A*x)'*(b - A*x), where A is m-by-n, and b is m-by-1. b can also be an m-by-k matrix, and lscov returns one solution for each column of b. When rank(A) < n, lscov sets the maximum possible number of elements of x to zero to obtain a "basic solution".

x = lscov(A,b,w), where w is a vector length m of real positive weights, returns the weighted least squares solution to the linear system A*x = b, that is, x minimizes (b - A*x)'*diag(w)*(b - A*x). w typically contains either counts or inverse variances.

x = lscov(A,b,V), where V is an m-by-m real symmetric positive definite matrix, returns the generalized least squares solution to the linear system A*x = b with covariance matrix proportional to V, that is, x minimizes (b - A*x)'*inv(V)*(b - A*x).

More generally, V can be positive semidefinite, and lscov returns x that minimizes e'*e, subject to A*x + T*e = b, where the minimization is over x and e, and T*T' = V. When V is semidefinite, this problem has a solution only if b is consistent with A and V (that is, b is in the column space of [A T]), otherwise lscov returns an error.

By default, lscov computes the Cholesky decomposition of V and, in effect, inverts that factor to transform the problem into ordinary least squares. However, if lscov determines that V is semidefinite, it uses an orthogonal decomposition algorithm that avoids inverting V.

x = lscov(A,b,V,alg) specifies the algorithm used to compute x when V is a matrix. alg can have the following values:

[x,stdx] = lscov(...) returns the estimated standard errors of x. When A is rank deficient, stdx contains zeros in the elements corresponding to the necessarily zero elements of x.

[x,stdx,mse] = lscov(...) returns the mean squared error.

[x,stdx,mse,S] = lscov(...) returns the estimated covariance matrix of x. When A is rank deficient, S contains zeros in the rows and columns corresponding to the necessarily zero elements of x. lscov cannot return S if it is called with multiple right-hand sides, that is, if size(B,2) > 1.

The standard formulas for these quantities, when A and V are full rank, are

However, lscov uses methods that are faster and more stable, and are applicable to rank deficient cases.

lscov assumes that the covariance matrix of B is known only up to a scale factor. mse is an estimate of that unknown scale factor, and lscov scales the outputs S and stdx appropriately. However, if V is known to be exactly the covariance matrix of B, then that scaling is unnecessary. To get the appropriate estimates in this case, you should rescale S and stdx by 1/mse and sqrt(1/mse), respectively.


The vector x minimizes the quantity (A*x-b)'*inv(V)*(A*x-b). The classical linear algebra solution to this problem is

but the lscov function instead computes the QR decomposition of A and then modifies Q by V.

See Also

lsqnonneg, qr

The arithmetic operator \


[1]  Strang, G., Introduction to Applied Mathematics, Wellesley-Cambridge, 1986, p. 398.

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