Complete Orthogonal Decomposition for Weighted Least Squares

Abstract

Consider a full-rank weighted least squares problem in which the weight matrix is highly ill-conditioned. Because of the ill-conditioning, standard methods for solving least-squares problems, QR factorization and the nullspace method for example, break down. G.W. Stewart established a norm bound for such a system of equations, indicating that it may be possible to find an algorithm that gives an accurate solution. S.A. Vavasis proposed a new definition of stability that is based on this result. He also defined the NSH algorithm for solving this least-squares problem and showed that it satisfies his definition of stability. In this paper, we propose a complete orthogonal decomposition algorithm to solve this problem and show that it is also stable. This new algorithm is simpler and more efficient than the NSH method.