在数据处理中，经常遇到寻求回归方程的问题，即根据一组实验数据，建立两个或多个物理量(舒称因素)之间的在统计意义上的依赖关系式。
引言
最小二乘模型可以解决两类实际问题。
第一类问题：在数据处理中经常遇到寻求回归方程的问题，即根据一组实验数据建立两个或多个物理量（俗称因素）之间的在统计意义上的依赖关系式。例如一个量
y
y
y与另一个或几个量
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⋅
⋅
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，
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t_{1},···，t_{l}
t1,⋅⋅⋅，tl有关系。这类问题的一般性描述如下。假定要建立量
y
y
y与
l
l
l个量
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1
,
⋅
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，
t
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t_{1},···，t_{l}
t1,⋅⋅⋅，tl之间的依赖关系式，设方程为：
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y = F(t_{1},t_{2},···，t_{l};x_{1},x_{2},···，x_{n})
y=F(t1,t2,⋅⋅⋅，tl;x1,x2,⋅⋅⋅，xn)
其中
F
F
F的形式事先给定，
x
1
，
⋅
⋅
⋅
，
x
n
x_{1}，···，x_{n}
x1，⋅⋅⋅，xn是待定参数。有
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>
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m( > n)
m(>n)组实验数据：
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\left[t_{1}^{(i)}, t_{2}^{(i)}, \cdots, t_{l}^{(i)} ; y^{(i)}\right]^{T}, \quad i=1,2, \cdots, m
[t1(i),t2(i),⋯,tl(i);y(i)]T,i=1,2,⋯,m
其中
t
1
,
⋅
⋅
⋅
，
t
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t_{1},···，t_{l}
t1,⋅⋅⋅，tl是试验中的已知数据，而
y
y
y是实验后得到的结果。 问题是，如何确定
n
n
n个参数
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,
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,
⋅
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⋅
，
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n
x_{1},x_{2},···，x_{n}
x1,x2,⋅⋅⋅，xn从而建立起回归方程。把第
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i个实验点的自变量
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t_{1}^{(i)}, t_{2}^{(i)}, \cdots, t_{l}^{(i)}
t1(i),t2(i),⋯,tl(i)代入到其中就会得到相应的函数值。
y
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\tilde{y}^{(i)}=F\left(t_{1}^{(i)}, t_{2}^{(i)}, \cdots, t_{l}^{(i)} ; x_{1}, x_{2}, \cdots, x_{n}\right)
y~(i)=F(t1(i),t2(i),⋯,tl(i);x1,x2,⋯,xn)
y
~
(
i
)
\tilde{y}^{(i)}
y~(i)是真实值
y
i
y^{i}
yi的假设值。当然希望它们之差的绝对的假设值。当然希望它们之差的绝对
min
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\min \sum_{i=1}^{m}\left[F\left(t_{1}^{(i)}, t_{2}^{(i)}, \cdots, t_{j}^{(i)} ; x_{1}, x_{2}, \cdots, x_{n}\right)-y^{(i)}\right]^{2}
mini=1∑m[F(t1(i),t2(i),⋯,tj(i);x1,x2,⋯,xn)−y(i)]2
是非常自然的事情。这就是最小二乘模型。令
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f_{i}\left(x_{1}, \cdots, x_{n}\right)=F\left(t_{1}^{(i)}, \cdots, t_{i}^{(i)} ; x_{1}, \cdots, x_{n}\right)-y^{(i)}
fi(x1,⋯,xn)=F(t1(i),⋯,ti(i);x1,⋯,xn)−y(i)
则最小二乘模型变为
min
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\min \sum_{i=1}^{m} f_{i}^{2}\left(x_{1}, \cdots, x_{n}\right)
mini=1∑mfi2(x1,⋯,xn)
令
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x=(x_{1},x_{2},···x_{n})^{T}
x=(x1,x2,⋅⋅⋅xn)T，
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f(x)=\left(f_{1}(x), \cdots, f_{m}(x)\right)^{T}
f(x)=(f1(x),⋯,fm(x))T则又变成
min
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1
m
f
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T
f
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\min \sum_{i=1}^{m} f(x)^{T}f(x)
mini=1∑mf(x)Tf(x)
求它的最优解即称为求解最小二乘问题，将最优解
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x=(x_{1}^{*},x_{2}^{*},···x_{n}^{*})^{T}
x=(x1∗,x2∗,⋅⋅⋅xn∗)T代入到
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y = F(t_{1},t_{2},···，t_{l};x_{1},x_{2},···，x_{n})
y=F(t1,t2,⋅⋅⋅，tl;x1,x2,⋅⋅⋅，xn)中所得
y
=
F
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y = F(t_{1},t_{2},···，t_{l};x_{1}^{*},x_{2}^{*},···x_{n}^{*})
y=F(t1,t2,⋅⋅⋅，tl;x1∗,x2∗,⋅⋅⋅xn∗)即为回归方程。显然最小二乘问题是无约束规划，但由于其特殊结构，有其特殊的求解方法。
当所有的 f i ( x 1 , ⋯ , x n ) = F ( t 1 ( i ) , ⋯ , t i ( i ) ; x 1 , ⋯ , x n ) − y ( i ) f_{i}\left(x_{1}, \cdots, x_{n}\right)=F\left(t_{1}^{(i)}, \cdots, t_{i}^{(i)} ; x_{1}, \cdots, x_{n}\right)-y^{(i)} fi(x1,⋯,xn)=F(t1(i),⋯,ti(i);x1,⋯,xn)−y(i)均是 x 1 , x 2 , ⋅ ⋅ ⋅ x n x_{1},x_{2},···x_{n} x1,x2,⋅⋅⋅xn的线性函数时，称为线性最小二乘问题，否则，称为非线性最小二乘问题。
第二类问题：求解方程组（数学问题）
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\left.\begin{array}{l}{f_{1}\left(x_{1}, x_{2}, \cdots, x_{n}\right)=0} \\ {f_{2}\left(x_{1}, x_{2}, \cdots, x_{n}\right)=0} \\ {\vdots} \\ {f_{m}\left(x_{1}, x_{2}, \cdots, x_{n}\right)=0}\end{array}\right\}
f1(x1,x2,⋯,xn)=0f2(x1,x2,⋯,xn)=0⋮fm(x1,x2,⋯,xn)=0⎭
⎬
⎫
如是线性方程组，则为
A
x
−
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=
0
Ax-b=0
Ax−b=0，当
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<
R
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R(A) < R(A,b)
R(A)<R(A,b)时，无解，但确实需要求解它。《线性代数》无办法。如是非线性方程组，在数学上求迭代解也非常麻烦，为此求解
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\min \sum_{i=1}^{m} f_{i}^{2}\left(x_{1}, \cdots, x_{n}\right)
mini=1∑mfi2(x1,⋯,xn)
是非常自然的事情。它也是一个最小二乘问题。
最小二乘问题的解法
(1) 线性最小二乘问题
当 f ( x ) f(x) f(x)取线性函数形式，即 f ( x ) = A x − b f(x)=Ax-b f(x)=Ax−b， A m × n A_{m \times n} Am×n，则线性最小二乘问题为 m i n ( A x − b ) T ( A x − b ) min(Ax-b)^{T}(Ax-b) min(Ax−b)T(Ax−b)。其极小点的解 x ∗ x^{*} x∗有以下充要条件： A T A x ∗ = A T b A^{T} A x^{*}=A^{T} b ATAx∗=ATb。
(2) 非线性最小二乘问题
假定选定初始点 x 0 x_{0} x0后，经过 k k k 次迭代已求得 x k x_{k} xk。现在考虑 x k + 1 x_{k+1} xk+1的求法。与Newton法的基本思想相类似，把 f ( x ) f(x) f(x)线性化，用线性最小二乘问题的解去逼近非线性最小二乘问题的解。具体做法如下。
把
f
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x
)
f(x)
f(x)的第
i
i
i个分量在
x
k
x_{k}
xk点处作Taylor级数展开，即
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f_{i}(x) \approx f_{i}\left(x_{k}\right)+\nabla f_{i}\left(x_{k}\right)^{T}\left(x-x_{k}\right), \quad i=1,2, \cdots m
fi(x)≈fi(xk)+∇fi(xk)T(x−xk),i=1,2,⋯m
即有
{
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\left\{\begin{array}{l}{f_{1}(x) \approx f_{1}\left(x_{k}\right)+\left(\frac{\partial f_{1}\left(x_{k}\right)}{\partial x_{1}}, \cdots, \frac{\partial f_{1}\left(x_{k}\right)}{\partial x_{n}}\right)\left(x-x_{k}\right)} \\ {\vdots} \\ {f_{m}(x) \approx f_{m}\left(x_{k}\right)+\left(\frac{\partial f_{m}\left(x_{k}\right)}{\partial x_{1}}, \cdots, \frac{\partial f_{m}\left(x_{k}\right)}{\partial x_{n}}\right)\left(x-x_{k}\right)}\end{array}\right.
⎩
⎨
⎧f1(x)≈f1(xk)+(∂x1∂f1(xk),⋯,∂xn∂f1(xk))(x−xk)⋮fm(x)≈fm(xk)+(∂x1∂fm(xk),⋯,∂xn∂fm(xk))(x−xk)
令
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f(x)=\left(f_{1}(x), \cdots, f_{m}(x)\right)^{T}
f(x)=(f1(x),⋯,fm(x))T，
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A_{k}=A\left(x_{k}\right)=\left[\begin{array}{cccc}{\frac{\partial f_{1}\left(x_{k}\right)}{\partial x_{1}}} & {\frac{\partial f_{1}\left(x_{k}\right)}{\partial x_{2}}} & {\cdots} & {\frac{\partial f_{1}\left(x_{k}\right)}{\partial x_{n}}} \\ {\partial f_{2}} & {\frac{\partial f_{2}\left(x_{k}\right)}{\partial x_{2}}} & {\cdots} & {\frac{\partial f_{2}\left(x_{k}\right)}{\partial x_{n}}} \\ {\vdots} & {\vdots} & {\vdots} & {\vdots} \\ {\frac{\partial f_{m}\left(x_{k}\right)}{\partial x_{1}}} & {\frac{\partial f_{m}\left(x_{k}\right)}{\partial x_{2}}} & {\cdots} & {\frac{\partial f_{m}\left(x_{k}\right)}{\partial x_{n}}}\end{array}\right]
Ak=A(xk)=
∂x1∂f1(xk)∂f2⋮∂x1∂fm(xk)∂x2∂f1(xk)∂x2∂f2(xk)⋮∂x2∂fm(xk)⋯⋯⋮⋯∂xn∂f1(xk)∂xn∂f2(xk)⋮∂xn∂fm(xk)
则上式可写成矩阵-向量形式
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f(x) \approx f(x_{k}) + A_{k}(x-x_{k})
f(x)≈f(xk)+Ak(x−xk)
称
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A_{k}
Ak是向量值函数
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f(x)=(f_{1}(x), ···， f_{m}(x))^{T}
f(x)=(f1(x),⋅⋅⋅，fm(x))T在点
x
k
x_{k}
xk处的Jacobi矩阵。从而求解：
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min(f_{k}+A_{k}(x-x_{k}))^{T}(f_{k}+A_{k}(x-x_{k})
min(fk+Ak(x−xk))T(fk+Ak(x−xk)
将它的最优解作为下一个迭代点
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x_{k+1}
xk+1。显然
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\begin{array}{l}{\min \left(f_{k}+A_{k}\left(x-x_{k}\right)\right)^{T}\left(f_{k}+A_{k}\left(x-x_{k}\right)\right)} \\ {=\min \left(A_{k} x-\left(A_{k} x_{k}-f_{k}\right)\right)^{T}\left(A_{k} x-\left(A_{k} x_{k}-f_{k}\right)\right)}\end{array}
min(fk+Ak(x−xk))T(fk+Ak(x−xk))=min(Akx−(Akxk−fk))T(Akx−(Akxk−fk))
是线性最小二乘问题，可由上一段方法求解。因此
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1
x_{k+1}
xk+1必满足方程
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A_{k}^{T}A_{k}x=A_{k}^{T}(A_{k}x_{k}-f_{k})=A_{k}^{T}A_{k}x_{k}-A_{k}^{T}f_{k}
AkTAkx=AkT(Akxk−fk)=AkTAkxk−AkTfk
如果
A
k
T
A
k
A_{k}^{T}A_{k}
AkTAk是可逆的，则：
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x_{k+1}=\left(A_{k}^{T} A_{k}\right)^{-1}\left[A_{k}^{T} A_{k} x_{k}-A_{k}^{T} f_{k}\right]=x_{k}-\left(A_{k}^{T} A_{k}\right)^{-1} A_{k}^{T} f_{k}
xk+1=(AkTAk)−1[AkTAkxk−AkTfk]=xk−(AkTAk)−1AkTfk
这相当于
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p
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x_{k+1}=x_{k}+p_{k}
xk+1=xk+pk搜索方向为
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p_{k}=-(A_{k}^{T}A_{k})^{-1}A_{k}^{T}f_{k}
pk=−(AkTAk)−1AkTfk步长为1的过程。
称它为非线性最小二乘问题的Gauss-Newton迭代公式，而由这个公式所产生的算法称为Gauss-Newton法。当 f ( x ) f(x) f(x)满足一定的条件，并且 x 0 x_{0} x0充分靠近极小点 x ∗ x^{*} x∗时，Gauss-Newton法是收敛的。
需要指出的是，即使在每次迭代中 A k T A k A_{k}^{T}A_{k} AkTAk都是可逆的，也保证不了算法是下降算法。特别是当初始点 x 0 x_{0} x0远离极小点 x ∗ x^{*} x∗时，算法很可能发散。但是，当 A k T A k A_{k}^{T}A_{k} AkTAk可逆时，所确定的 p k p_{k} pk是目标函数在点 x k x_{k} xk处的下降方向。
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