I have to identify an ARX under some linear constraints, this means that I have a quadratic programming with linear equality constraints problem.
One way is to use the following equations in the red boxes. A possible disadvantage in this case is the calculation of the matrix inversions (sometimes Matlab gives me the warning: Matrix is close to singular or badly scaled)
Another way is to use in Matlab the command: quadprog()
Another way is to use in Matlab the command: lsqlin()
Which of these three methods is the best one?
Which is the most robust numerically?
