Sparse constrained linear least-squares solver
- by Jacob
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.