STATISTICAL CONDITION ESTIMATION FOR LINEAR LEAST-SQUARES

Statistical condition estimation is applied to the linear least square s problem. The method obtains componentwise condition estimates via th e Frechet derivative. A rigorous statistical theory exists that determ ines the probability of accuracy in the estimates. The method is as co mputationally efficient as normwise condition estimation methods, and it is easily adapted to respect structural constraints on perturbation s of the input data. Several examples illustrate the method.