Least squares is a form of approximation, and is used to make a prediction based on experimental data.
Given a set of points , and the deviation from the points minimize by changing values a and b.
Finding the minimum involves talking a look a the derivates.
Removing unnecessary 2 constants (solving to approach 0), and simplifying:
This can be re-written as a 2x2 linear system:
Note that some systems may be more complex, and may involve more than two paramaters.
Recursive least-squares algorithm
The Recursive least-squares formula is designed for real-time estimation, rather than performing a batch result each time an entry is added.
- ↑ Identification, Estimation, and Learning - Lecture 2 - MIT OpenCourseware