By Ake Bjõrck
The strategy of least squares used to be chanced on by way of Gauss in 1795. It has when you consider that develop into the vital instrument for decreasing the impression of mistakes while becoming versions to given observations. this present day, purposes of least squares come up in loads of clinical components, equivalent to facts, geodetics, sign processing, and keep an eye on.
In the final twenty years there was an excellent raise within the ability for computerized facts shooting and computing. Least squares difficulties of huge measurement are actually sometimes solved. super development has been made in numerical equipment for least squares difficulties, particularly for generalized and converted least squares difficulties and direct and iterative equipment for sparse difficulties. previously there has no longer been a monograph that covers the complete spectrum of correct difficulties and strategies in least squares.
This quantity provides an in-depth therapy of issues comparable to equipment for sparse least squares difficulties, iterative tools, transformed least squares, weighted difficulties, and limited and regularized difficulties. The greater than 800 references offer a entire survey of the on hand literature at the topic.
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Additional resources for Numerical Methods for Least Squares Problems
CHOLESKY FACTORIZATION (ROW-WISE VERSION). , they will compute the same factor R, even taking rounding errors into account. We remark that from it follows that the elements in R are bounded in terms of the diagonal elements in C. This is essential for the numerical stability of the Cholesky factorization. 1.
A relationship between the Cholesky factorization of ATA and the QR decomposition of A is given next. 20 CHAPTER 1. 2. Let A e R mxn have rank n. Then if the R-factor in the QR decomposition of A has positive diagonal elements it equals the Cholesky factor ofATA. 4 the Cholesky factor of ATA is unique. 2) it follows that which concludes the proof. 4) Hence we can express Q\ uniquely in terms of A and R. However the matrix Q<2 will not, in general, be uniquely determined. 5) which shows that the columns of Q\ and $2 form orthonormal bases for Tl(A) and its complement.
17) is as useful as the SVD. 5. 7. 24 CHAPTER 1. 4. Sensitivity of Least Squares Solutions In this section we give results on the sensitivity of pseudoinverses and least squares solutions to perturbations in A and b. Many of the results below were first given by Wedin [824, 1973]. Stewart in [731, 1977] gives a unified treatment with interesting historical comments on the perturbation theory for pseudoinverses and least squares solutions. A more recent and excellent source of information is Stewart and Sun [754, 1990, Chap.