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smc77/normal_equation.jl

Created April 22, 2012 17:05
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Normal Equation (with Julia)
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normal_equation.jl
A = [1 1; 1 2; 1 3; 1 4]; b = [2 1 1 1]';
[m, n] = size(A);
C = A' * A; c = A' *b; bb = b'*b;
Cbar = [C c; c' bb];
Gbar = chol(Cbar)';
G = Gbar(1:2, 1:2); z = Gbar(3, 1:2)'; rho = Gbar(3, 3);
x = G'\z
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