Block RLS using row Householder reflections

DOI10.1016/0024-3795(93)90464-YMaRDI QIDQ1260781zbMATH OpenFDO

Authors Adam W. Bojanczyk, James G. Nagy, Robert J. Plemmons

Publication date 25 August 1993

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0024-3795(93)90464-Y

zbMATH Keywords

algorithmsCholesky factorizationmatrix-matrix BLAS-3 computationsNumerical experimentsperformancerecursive least squares problemsrow hyperbolic Householder reflections

Mathematics Subject Classification ID

Complexity and performance of numerical algorithms (65Y20)

Review text

The authors introduce new row Householder and row hyperbolic Householder reflections to zero a contiguous sequence of entries in a row of a matrix when applied from the left. These reflections are used to develop efficient algorithms for recursive least squares (RLS) problems of the sliding window type. These algorithms are based upon rank-\(k\) modification to the inverse Cholesky factor \(R^{-1}\) of the covariance matrix. Numerical experiments show that these algorithms are rich in matrix- matrix BLAS-3 computations, making them even more economical on high performance architectures than \(k\) applications of rank-1 modification schemes.

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Cites work

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Cited in

(10)

• Block RLS using row Householder reflections
• Inverse updating and downdating for weighted linear least squares using \(M\)-invariant reflections
• Conference celebrating the 60th birthday of Robert J. Plemmons. Papers from the conference, Winston-Salem, NC, USA, January 1999
• Dedication to Robert J. Plemmons
• The fast recursive row-Householder subspace tracking algorithm
• Square-root Householder subspace tracking
• Fast inverse Cholesky decomposition for rectangular Toeplitz-block matrix
• A vectorized systolic array for parallel weight extraction of block RLS
• scientific article; zbMATH DE number 800018 (Why is no real title available?)
• Updating the principal angle decomposition

Describes a project that uses

Uses Software

• LAPACK

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