On the condition number of the total least squares problem

DOI10.1007/S00211-013-0533-9MaRDI QIDQ368579zbMATH OpenOpenAlexFDO

Authors Zhongxiao Jia, Bingyu Li

Publication date 23 September 2013

Published in Numerische Mathematik (Search for Journal in Brave)

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

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)

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.

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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
• Perturbation analysis for total least squares problems with linear equality constraint
• Condition numbers of the multidimensional total least squares problem
• 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
• A Contribution to the Conditioning of the Total Least-Squares Problem
• Condition numbers of the mixed least squares-total least squares problem revisited
• 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

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