Computing the conditioning of the components of a linear least-squares solution
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Abstract: In this paper, we address the accuracy of the results for the overdetermined full rank linear least squares problem. We recall theoretical results obtained in Arioli, Baboulin and Gratton, SIMAX 29(2):413--433, 2007, on conditioning of the least squares solution and the components of the solution when the matrix perturbations are measured in Frobenius or spectral norms. Then we define computable estimates for these condition numbers and we interpret them in terms of statistical quantities. In particular, we show that, in the classical linear statistical model, the ratio of the variance of one component of the solution by the variance of the right-hand side is exactly the condition number of this solution component when perturbations on the right-hand side are considered. We also provide fragment codes using LAPACK routines to compute the variance-covariance matrix and the least squares conditioning and we give the corresponding computational cost. Finally we present a small historical numerical example that was used by Laplace in Theorie Analytique des Probabilites, 1820, for computing the mass of Jupiter and experiments from the space industry with real physical data.
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Cites work
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Cited in
(9)- Using dual techniques to derive componentwise and mixed condition numbers for a linear function of a linear least squares solution
- Condition numbers and perturbation analysis for the Tikhonov regularization of discrete ill-posed problems.
- Ill-conditioning of the truncated singular value decomposition, Tikhonov regularization and their applications to numerical partial differential equations.
- Computing least squares condition numbers on hybrid multicore/GPU systems
- Mixed, componentwise condition numbers and small sample statistical condition estimation of Sylvester equations
- A note on stable perturbations of Moore-Penrose inverses
- On condition numbers for Moore-Penrose inverse and linear least squares problem involving Kronecker products
- New regularization techniques for ill-conditioning problems and their applications: choices of regularization parameters
- Structured condition numbers of structured Tikhonov regularization problem and their estimations
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