Implicit scaling of linear least squares problems

DOI10.1023/A:1022374520140MaRDI QIDQ1569893zbMATH OpenOpenAlexFDO

Authors J. K. Reid

Publication date 24 October 2001

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1022374520140

zbMATH Keywords

backward errorsHouseholder transformationsimplicit scalingiterative refinementQR factorizationweighted linear least squares

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Numerical computation of matrix norms, conditioning, scaling (65F35)

Review text

The solution of weighted linear least squares problems by Householder transformations with implicit scaling is considered, that is, with the weights stored separately. By holding inverse weights, the constrained case can be accommodated. The error analysis of the weighted and unconstrained case is readily extended and that iterative refinement may be applied is shown.

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