Solve Least Squares Problem
quantlib-numerical
Solve Least Squares Problem
Solve the least squares problem: minimize ||Ax - b||² to find x that best fits the overdetermined system Ax ≈ b. When A has more rows than columns (more equations than unknowns), no exact solution exists, but least squares finds the best approximate solution. Uses QR decomposition or normal equations. Essential for regression analysis, curve fitting, factor models, and calibration. [Tier: BASIC, Credits: 1]
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Solve Least Squares Problem
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