On the condition number of the total least squares problem

DOI10.1007/S00211-013-0533-9zbMATH Open1287.65034arXiv1110.0166OpenAlexW2128900999MaRDI QIDQ368579FDOQ368579

Authors: Zhongxiao Jia, Bingyu Li 

Publication date: 23 September 2013

Published in: Numerische Mathematik (Search for Journal in Brave)

Abstract: This paper concerns singular value decomposition (SVD)-based computable formulas and bounds for the condition number of the Total Least Squares (TLS) problem. For the TLS problem with the coefficient matrix $A$ and the right-hand side $b$, a new closed formula is presented for the condition number. Unlike an important result in the literature that uses the SVDs of both $A$ and $[A,b]$, our formula only requires the SVD of $[A,b]$. Based on the closed formula, both lower and upper bounds for the condition number are derived. It is proved that they are always sharp and estimate the condition number accurately. A few lower and upper bounds are further established that involve at most the smallest two singular values of $A$ and of $[A,b]$. Tightness of these bounds is discussed, and numerical experiments are presented to confirm our theory and to demonstrate the improvement of our upper bounds over the two upper bounds due to Golub and Van Loan as well as Baboulin and Gratton. Such lower and upper bounds are particularly useful for large scale TLS problems since they require the computation of only a few singular values of $A$ and $[A,b]$ other than all the singular values of them.

Full work available at URL: https://arxiv.org/abs/1110.0166

Recommendations

• A Contribution to the Conditioning of the Total Least-Squares Problem
• Condition numbers of the multidimensional total least squares problem
• On condition numbers of the total least squares problem with linear equality constraint
• Sensitivity and conditioning of the truncated total least squares solution
• A contribution to perturbation analysis for total least squares problems

zbMATH Keywords

singular value decompositioncondition numbernumerical experimenttotal least squares problems

Mathematics Subject Classification ID

Numerical solutions to overdetermined systems, pseudoinverses (65F20) Numerical computation of matrix norms, conditioning, scaling (65F35)

Cites Work

• Title not available (Why is that?)
• Matrix Analysis
• Title not available (Why is that?)
• An Analysis of the Total Least Squares Problem
• Methods for large scale total least squares problems
• Title not available (Why is that?)
• An Implicitly Restarted Refined Bidiagonalization Lanczos Method for Computing a Partial Singular Value Decomposition
• Title not available (Why is that?)
• Perturbation analysis and condition numbers of scaled total least squares problems
• Scaled total least squares fundamentals
• The total least squares problem in \(AX \approx B\): A new classification with the relationship to the classical works
• A Theory of Condition
• A total least squares method for Toeplitz systems of equations
• Perturbation theory for orthogonal projection methods with applications to least squares and total least squares
• A refined harmonic Lanczos bidiagonalization method and an implicitly restarted algorithm for computing the smallest singular triplets of large matrices
• A Contribution to the Conditioning of the Total Least-Squares Problem
• Mixed, Componentwise, and Structured Condition Numbers
• The Analysis for the Total Least Squares Problem with More Than One Solution
• A Unified Theoryof Conditioning for Linear Least Squares and Tikhonov Regularization Solutions
• Title not available (Why is that?)
• Some results on condition numbers of the scaled total least squares problem
• Core Problems in Linear Algebraic Systems

Cited In (21)

• On the condition number theory of the equality constrained indefinite least squares problem
• A note on the condition number of the scaled total least squares problem
• On the partial condition numbers for the indefinite least squares problem
• Small sample statistical condition estimation for the total least squares problem
• Condition numbers of the multidimensional total least squares problem
• Perturbation analysis for total least squares problems with linear equality constraint
• Multidimensional total least squares problem with linear equality constraints
• Condition numbers of the multidimensional total least squares problems having more than one solution
• Perturbation analysis and condition numbers for the Tikhonov regularization of total least squares problem and their statistical estimation
• Condition numbers of the mixed least squares-total least squares problem revisited
• A Contribution to the Conditioning of the Total Least-Squares Problem
• Mixed and componentwise condition numbers for a linear function of the solution of the total least squares problem
• A contribution to the conditioning of the mixed least-squares scaled total least-squares problem
• A contribution to perturbation analysis for total least squares problems
• On condition numbers for least squares with quadric inequality constraint
• On condition numbers of the total least squares problem with linear equality constraint
• Condition numbers for a linear function of the solution to the constrained and weighted least squares problem and their statistical estimation
• Sensitivity and conditioning of the truncated total least squares solution
• Condition numbers of multidimensional mixed least squares-total least squares problems
• A Partial Condition Number for Linear Least Squares Problems
• On the condition number of some Gram matrices arising from least squares approximation in the complex plane

Uses Software

• VanHuffel

This page was built for publication: On the condition number of the total least squares problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q368579)