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Updating QR factorization procedure for solution of linear least squares problem with equality constraints

机译:具有等式约束的线性最小二乘问题的更新QR分解程序

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摘要

In this article, we present a QR updating procedure as a solution approach for linear least squares problem with equality constraints. We reduce the constrained problem to unconstrained linear least squares and partition it into a small subproblem. The QR factorization of the subproblem is calculated and then we apply updating techniques to its upper triangular factor R to obtain its solution. We carry out the error analysis of the proposed algorithm to show that it is backward stable. We also illustrate the implementation and accuracy of the proposed algorithm by providing some numerical experiments with particular emphasis on dense problems.
机译:在本文中,我们提出了QR更新程序作为具有等式约束的线性最小二乘问题的解决方法。我们将约束问题简化为无约束线性最小二乘法,并将其划分为一个小的子问题。计算子问题的QR分解,然后将更新技术应用于其上三角因子R,以获得其解。我们对该算法进行了误差分析,表明该算法是向后稳定的。我们还通过提供一些数值实验,特别强调稠密问题,说明了该算法的实现和准确性。

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