Sparse constrained linear least-squares solver

Posted by Jacob on Stack Overflow See other posts from Stack Overflow or by Jacob
Published on 2010-06-10T03:17:40Z Indexed on 2010/06/10 4:42 UTC
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c++

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math

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linear-algebra

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linear-programming

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sparse

This great SO answer points to a good sparse solver, but I've got constraints on x (for Ax = b) such that each element in x is >=0 an <=N. The first thing which comes to mind is an QP solver for large sparse matrices.

Also, A is huge (around 2e6x2e6) but very sparse with <=4 elements per row.

Any ideas/recommendations? I'm looking for something like MATLAB's lsqlin but with huge sparse matrices.

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