Least Squares Estimation - Problem with Symbols

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SUMMARY

The discussion centers on the Least Squares Estimation problem, specifically finding the minimizer x* of the function ƒ:ℝn → ℝ, defined as ƒ(x) = ||Ax-b||22, where A is an m x n matrix and b is an m-dimensional vector. Participants seek clarification on interpreting set symbols and the methodology for determining the minimizer. It is established that the minimum value of ƒ(x) is 0, occurring when Ax = b, and that A must have rank n for the solution to be valid. Textbook references are suggested for further understanding of the minimization process.

PREREQUISITES
  • Understanding of linear algebra concepts, particularly matrix rank and vector norms.
  • Familiarity with the Least Squares method in optimization.
  • Knowledge of mathematical notation and set symbols used in optimization problems.
  • Basic proficiency in reading and interpreting mathematical functions and equations.
NEXT STEPS
  • Study the derivation of the Least Squares solution using normal equations.
  • Learn about the properties of matrix rank and its implications in solving linear systems.
  • Explore the application of gradient descent in minimizing norm functions.
  • Review relevant sections in textbooks on optimization techniques, focusing on norm minimization.
USEFUL FOR

Students in mathematics or engineering fields, particularly those studying optimization techniques, data fitting, or linear regression analysis.

Schnurmann
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Hi folks,
1. Homework Statement

I don't fully understand the question statement, how is it supposed to be read?
Question:
Give a formula for the minimizer x* (to be read as x-star) of the function ƒ:ℝn → ℝ, x → ƒ(x) = ||Ax-b||22, where A∈ℝm×n and b∈ℝm are given. You can assume that A has rank n. Justify your answer.

Homework Equations


How do i read the part where set symbols are mentioned?
 
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Okay i have another question:
How do we find the minimizer of a norm function?
 
Schnurmann said:
Hi folks,
1. Homework Statement

I don't fully understand the question statement, how is it supposed to be read?
Question:
Give a formula for the minimizer x* (to be read as x-star) of the function ƒ:ℝn → ℝ, x → ƒ(x) = ||Ax-b||22, where A∈ℝm×n and b∈ℝm are given. You can assume that A has rank n. Justify your answer.

Homework Equations


How do i read the part where set symbols are mentioned?
A is an m x n matrix, and b is an m-dimensional vector.
Schnurmann said:
Okay i have another question:
How do we find the minimizer of a norm function?
f(x) is always nonnegative, with a minimum value of 0, which occurs when Ax = b. Your textbook ought to have a discussion of how to find x in this case.
 

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