The degenerate bounded errors-in-variables model

DOI10.1137/S0895479800357766MaRDI QIDQ2719207zbMATH OpenOpenAlexFDO

Authors Ming Gu, Ali H. Sayed, K. E. Schubert, S. Chandrasekaran

Publication date 21 June 2001

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0895479800357766

zbMATH Keywords

algorithmleast squares problemsparameter estimationtotal least squares

Mathematics Subject Classification ID

Numerical solutions to overdetermined systems, pseudoinverses (65F20) Least squares and related methods for stochastic control systems (93E24)

Review text

The paper is devoted to a special case of the error-in-variable problem. It is viewed as total least squares with bounds on the uncertainty in the coefficient matrix. The chosen approach advantage is given as a motivation for further considerations. Corresponding proofs and algorithm synthesis are presented. A computable condition for checking if the problem is degenerate (i.e. when it has multiple solutions) is given. The obtained algorithm provides a global solution with minimum Euclidean norm. A tabulation of the obtained result, and an extension to the problem of a column-partitioned matrix with uncertainty in only one partition is presented.

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