Partial total least squares algorithm

DOI10.1016/0377-0427(90)90261-WMaRDI QIDQ751180zbMATH OpenOpenAlexFDO

Authors Sabine Van Huffel

Publication date 1990

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-0427(90)90261-w

zbMATH Keywords

minimum norm solutionoverdetermined system of linear equationspartial total least squaressingular value decompositionTLS algorithm

Mathematics Subject Classification ID

Numerical solutions to overdetermined systems, pseudoinverses (65F20)

Review text

The paper contains a detailed description of a subroutine, PTLS (partial total least squares), for the total least squares (TLS) solution of the overdetermined system of linear equations \(AX=B\) by using a partial singular value decomposition. It is claimed that the computational efficiency is improved by a factor of about two over the classical TLS algorithm. The computational improvement of PTLS is based on the observation that the TLS solution can be computed from any orthogonal basis of the right singular subspace corresponding to the smallest singular values of the augmented matrix [A;B]. The routine PTLS can accommodate more than one vector in B. It can also be used to solve determined and underdetermined sets of equations by computing the minimum norm solution.

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Cites work

• An Analysis of the Total Least Squares Problem
• An efficient and reliable algorithm for computing the singular subspace of a matrix, associated with its smallest singular values
• An Improved Algorithm for Computing the Singular Value Decomposition
• Analysis and Solution of the Nongeneric Total Least Squares Problem
• Basic Linear Algebra Subprograms for Fortran Usage
• scientific article; zbMATH DE number 3748409 (Why is no real title available?)
• The partial total least squares algorithm

Cited in

(2)

• The partial total least squares algorithm
• The partial least squares algorithm: a truncated Cayley-Hamilton series approximation used to solve the regression problem

Describes a project that uses

Uses Software

• LINPACK

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