Post #4315143

OK I'm going to need ask the Fediverse for some math help here, because I have a feeling I'm forgetting something obvious and can't find the resources I'd need to answer my own question. Let's say I have an underdetermined linear system. The methods generally employed to solve these find the least (l2) norm solution, which is generally acceptable. However, in my case, I need to find solutions that satisfy some constraint (simple inequality constraints: solution must be in a box, with known ranges [min max] for each variable). I think I have had a brain freeze because the only approach I can think of to solve this is to turn the problem into a constrained optimization problem. However, in my case (hundreds of thousands of variables) this is not computationally feasible: the time needed for the optimization approach is ridiculously higher than the standard linear system solution. OTOH, I have a vague feeling that it should be possible to approach this differently, possibly remaining in the domain of the linear system resolution. What am I missing? #askFedi #fediHelp #askMath #mathHelp #mathematics