A Stable and Efficient Algorithm for the Indefinite Linear Least-Squares Problem

We develop an algorithm for the solution of indefinite least-squares problems. Such problems arise in robust estimation, filtering, and control, and numerically stable solutions have been lacking. The algorithm developed herein involves the QR factorization of the coefficient matrix and is provably numerically stable


Published in:
SIAM Journal on Matrix Analysis and Applications, 20, 2, 354-362
Year:
1998
Publisher:
Society for Industrial and Applied Mathematics
ISSN:
1095-7162
Laboratories:




 Record created 2017-12-22, last modified 2018-12-03


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