On iterative algorithms for linear least squares problems with bound constraints

Three new iterative methods for the solution of the linear least squares problem with bound constraints are presented and their performance analyzed. The first is a modification of a method proposed by Lötstedt, while the two others are characterized by a technique allowing for fast active set changes, resulting in noticeable improvements in the speed with which constraints active at the solution are identified. The numerical efficiency of those algorithms is experimentally studied, with particular emphasis on the dependence on the starting point and the use of preconditioning for ill-conditioned problems.


Published in:
Linear Algebra and its Applications, 143, 1, 111-143
Year:
1991
ISSN:
0024-3795
Laboratories:


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 Record created 2006-02-14, last modified 2018-12-03

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