Self-scaling fast rotations for stiff and equality-constrained linear least squares problems (Q1908193): Difference between revisions

Algorithms that apply self-scaling fast plane rotations to \(QR\) decomposition for stiff least squares problems are presented. These problems appear when an equality-constrained least squares problem is solved via extreme weighting of the constraint equations. The accuracy of the algorithm compares favorably with that of the Givens-rotation-based algorithm, while the Householder method may produce very sensitive results. This makes the fast plane rotation a method of choice for the \(QR\) decomposition, since it is also competitive in complexity with the Householder method.