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Solving interval linear least squares problems by PPS-methods. (English) Zbl 1468.65035

Summary: In our work, we consider the linear least squares problem for \(m \times n\)-systems of linear equations \(Ax = b\), \(m \geq n\), such that the matrix \(A\) and right-hand side vector \(b\) can vary within an interval \(m \times n\)-matrix \(\boldsymbol{A}\) and an interval \(m\)-vector \(\boldsymbol{b}\), respectively. We have to compute, with a prescribed accuracy, outer coordinate-wise estimates of the set of all least squares solutions to \(Ax = b\) for \(A \in \boldsymbol{A}\) and \(b \in \boldsymbol{b}\). Our article is devoted to the development of the so-called PPS-methods (based on partitioning of the parameter set) to solve the above problem. We reduce the normal equation system, associated with the linear lest squares problem, to a special extended matrix form and produce a symmetric interval system of linear equations that is equivalent to the interval least squares problem under solution. To solve such symmetric system, we propose a new construction of PPS-methods, called ILSQ-PPS, which estimates the enclosure of the solution set with practical efficiency. To demonstrate the capabilities of the ILSQ-PPS-method, we present a number of numerical tests and compare their results with those obtained by other methods.

MSC:

65F20 Numerical solutions to overdetermined systems, pseudoinverses
65G40 General methods in interval analysis
65H10 Numerical computation of solutions to systems of equations
93E24 Least squares and related methods for stochastic control systems

Software:

Octave

References:

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