Siam journal on matrix analysis and applications

Publication date: 1991-04-01
Volume: 12 Pages: 292 - 309
Publisher: Siam publications

Author:

Van Huffel, Sabine
Zha, Hy

Keywords:

generalized total least squares, generalized least squares, restricted singular value decomposition, numerical linear algebra, singular value decomposition, regression, model, SISTA, 0102 Applied Mathematics, 0103 Numerical and Computational Mathematics, Numerical & Computational Mathematics

Abstract:

The restricted total least squares (RTLS) problem, presented in this paper, is devised for solving overdetermined sets of linear equations AX almost-equal-to B in which the data [A; B] are perturbed by errors of the form E* = DEC. D and C are known matrices and E is an arbitrary but bounded matrix. By choosing D and C appropriately, the RTLS problem formulation can handle any weighted least squares (LS), generalized LS, total LS, and generalized total LS problem. Also, equality constraints can be imposed.