C++ Eigen3最小二乘法编程实现

这里是二维情况，拟合直线，可推广到N维情况。 

#include <iostream>
#include <fstream>
#include <vector>

#include <Eigen/Dense>
using namespace Eigen;

using namespace std;

int main()
{
	//cout << "Start Program" << endl;
	ifstream fread("data.txt");

	if (fread.fail())
	{
		cout << "Data File does not exit." << endl;
		return 0;
	}

	double x = 0;
	double y = 0;
	vector<double> xs;
	vector<double> ys;

	while (!fread.eof())
	{
		fread >> x >> y;
		xs.push_back(x);
		ys.push_back(y);
	}

	int len = xs.size();
	//cout << len << endl;
	Eigen::MatrixXd A(len, 2);
	Eigen::MatrixXd B(len, 1);
	for (int i = 0; i < len; i++)
	{
		A(i, 0) = xs[i];
		A(i, 1) = 1;

		B(i, 0) = ys[i];
	}
	cout << "Matrix A" << endl;
	cout << A << endl;

	cout << "Matrix B" << endl;
	cout << B << endl;

	Eigen::MatrixXd f(2, 1);
	f = (A.transpose()*A).inverse()*A.transpose()*B;
	cout << "Matrix f" << endl;
	cout << f << endl;
}