Least squares: Difference between revisions
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Many other types of optimization problems can be expressed in a least squares form, by either minimizing [[energy]] or maximizing [[Information entropy|entropy]]. The least squares method is particularly important in estimation of model parameters from measured data. | Many other types of optimization problems can be expressed in a least squares form, by either minimizing [[energy]] or maximizing [[Information entropy|entropy]]. The least squares method is particularly important in estimation of model parameters from measured data. | ||
== See also == | |||
*[[Weighted least squares]] | |||
*[[Moving least squares]] | |||
*[[Regression analysis]] | |||
Revision as of 21:54, 23 November 2007
Least squares, also known as ordinary least squares analysis, is a method for linear regression that determines the values of unknown quantities in a statistical model by minimizing the sum of the squared residuals (the difference between the predicted and observed values). This method was first described by Carl Friedrich Gauss. It can be shown that the least-squares approach to regression analysis is optimal in the sense that it satisfies the Gauss-Markov theorem.
A related method is the least mean squares (LMS) method. It occurs when the number of measured data is 1 and the gradient descent method is used to minimize the squared residual.
Many other types of optimization problems can be expressed in a least squares form, by either minimizing energy or maximizing entropy. The least squares method is particularly important in estimation of model parameters from measured data.