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I'm having a serious doubt in the least square regression problem. I guess its got to do with the notation of norm. Is the least square formulation $||b - \mathbf{A}x||^2$ or is it $||b - \mathbf{A}x||_2$. Or are they the same ?

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Usually it is $||b - \mathbf Ax||_2$, but the problem of minimizing $||b - \mathbf Ax||_2$ is the same as minimizing $||b - \mathbf Ax||_2^2$. The notation $||b - \mathbf Ax||$ is short for $||b - \mathbf Ax||_2$ when it is understood that the norm being used is the $2$-norm.

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    The function $x \mapsto x^2$ is a strictly increasing function when $x \ge 0$. That means if $x, y \ge 0$, then $x \le y$ if and only if $x^2 \le y^2$.2012-08-31
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Suppose $v=(a,b,c)$. Then $\|v\|$ and $\|v\|_2$ are both common notations for $\sqrt{a^2+b^2+c^2}$. If you minimize $\|v\|_2$ then you also minimize $\|v\|^2$, and vice versa.