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I'm looking for a general method to find at least one solution to the system below

$$a_0 = a_1x_1 + \cdots + a_nx_n$$

$$b_0 = b_1x_1 + \cdots + b_nx_n$$

$$c_0 = c_1x_1 + \cdots + c_nx_n$$

$$d_0 = d_1x_1 + \cdots + d_nx_n$$

$$x_1 + \cdots + x_n = 1$$ $$0\le x_1, \dots , x_n \le 1$$

where $a_i, b_i, c_i, d_i$ are known real numbers, $x_i$ are unknown and $n > 20$.

Thank you in advance.

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The most general method would be to use the Moore-Penrose inverse (which can be computed with a singluar value decomposition; see linked article). Say $A$ is the $5\times n$ matrix formed by the row vectors $\vec{a},\vec{b},\vec{c},\vec{d},\vec{1}$. The least-squares solution is then $\vec{x}=A^+ (a_0,b_0,c_0,d_0,1)^T$, and you'd have to check the inequalities $\vec{x}\in[0,1]^n$ afterwards. I'm not sure if this reasoning is fleshed-out enough for OP to be posted as an answer as-is –  anon Aug 10 '11 at 23:30
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1 Answer 1

You have of course an underdetermined system; you however did not mention if you'd like a least squares solution or a solution minimizing some other norm. anon's suggestion of using SVD is a good one, but you might be able to get away with using the cheaper QR decomposition if the underlying matrix is "well-conditioned" enough, and reserve SVD for the cases where QR doesn't cut it.

Alternatively, if you are seeking solutions that are optimal in either the $\|\cdot\|_1$ (Manhattan) or $\|\cdot\|_\infty$ (Chebyshev) norms, there are methods based on linear programming for seeking these solutions. (Now that I think about it, the constraints you placed on your variables does make this look like an LP problem.) You might want to look at this book for instance.

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