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On the implementation of a subset selection algorithm for the restricted least squares problem
Published online by Cambridge University Press: 17 February 2009
Abstract
By noting that it is possible to interchange the roles of the solution vector x and the vector of Lagrange multipliers λ in the restricted least squares problem we are able to give a very efficient implementation of Clark's subset selection algorithm. Numerical results are presented for several selection heuristics.
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- Copyright © Australian Mathematical Society 1980