A STABLE AND EFFICIENT ALGORITHM FOR THE INDEFINITE LINEAR LEAST-SQUARES PROBLEM

Authors
CHANDRASEKARAN S GU M SAYED AH
Citation
S. Chandrasekaran et al., A STABLE AND EFFICIENT ALGORITHM FOR THE INDEFINITE LINEAR LEAST-SQUARES PROBLEM, SIAM journal on matrix analysis and applications (Print), 20(2), 1998, pp. 354-362
Citations number
12
Categorie Soggetti
Mathematics,Mathematics
Journal title
SIAM journal on matrix analysis and applications (Print) → ACNP
ISSN journal
08954798
Volume
20
Issue
2
Year of publication
1998
Pages
354 - 362
Database
ISI
SICI code
0895-4798(1998)20:2<354:ASAEAF>2.0.ZU;2-4
Abstract
We develop an algorithm for the solution of indefinite least-squares p roblems. Such problems arise in robust estimation, filtering, and cont rol, and numerically stable solutions have been lacking. The algorithm developed herein involves the QR factorization of the coefficient mat rix and is provably numerically stable.