A stable and efficient algorithm for the indefinite linear least-squares problem. (English) Zbl 0920.65024
Authors’ abstract: We develop an algorithm for the solution of indefinite least-squares problems. Such problem 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.
Reviewer: Th.Sonar (Hamburg)
MSC:
65F20 | Numerical solutions to overdetermined systems, pseudoinverses |