An algorithm for computing the solution of indefinite least squares problems and of indefinite least squares problems with equality constrained is presented. Such problems arise when solving total least squares problems and in H infinity-smoothing. The proposed algorithm relies only on stable orthogonal transformations reducing recursively the associated augmented matrix to proper block anti-triangular form. Some numerical results are reported showing the properties of the algorithm.
An algorithm for solving the indefinite least squares problem with equality constraints
Nicola Mastronardi;
2014
Abstract
An algorithm for computing the solution of indefinite least squares problems and of indefinite least squares problems with equality constrained is presented. Such problems arise when solving total least squares problems and in H infinity-smoothing. The proposed algorithm relies only on stable orthogonal transformations reducing recursively the associated augmented matrix to proper block anti-triangular form. Some numerical results are reported showing the properties of the algorithm.File in questo prodotto:
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