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|Title: ||Complete Orthogonal Decomposition for Weighted Least Squares|
|Authors: ||Hough, Patricia D.|
Vavasis, Stephen A.
|Keywords: ||theory center|
|Issue Date: ||Dec-1994|
|Publisher: ||Cornell University|
|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.|
|Appears in Collections:||Cornell Theory Center Technical Reports|
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