A stable and efficient algorithm for the indefinite linear least-squares problem

SIAM Journal on Matrix Analysis and Applications

Volumn 20, Issue 2, 1998, Pages 354-362

  Chandrasekaran, S ^a   Gu, M ^b   Sayed, A H ^b  

^a University of California   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Backward stability; Error analysis; Indefinite least squares problems

Indexed keywords

EID: 0032216887     PISSN: 08954798     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0895479896302229     Document Type: Article

References (12)

1. M. BERRY AND G. CYBENKO, Hyperbolic Householder algorithms for factoring structured matrices, SIAM J. Matrix Anal. Appl., 11 (1990), pp. 499-520.
2. S. CHANDRASEKARAN, G. H. GOLUB, M. GU, AND A. H. SAYED, Parameter estimation in the presence of bounded data uncertainties, SIAM J. Matrix Anal. Appl., 19 (1998), pp. 235-252.
3. S. CHANDRASEKARAN, G. H. GOLUB, M. GU, AND A. H. SAVED, An efficient algorithm for a bounded errors-in-variables model, SIAM J. Matrix Anal. Appl., to appear.
4. G. H. GOLUB AND C. F. VAN LOAN, Matrix Computations, 3rd ed., The Johns Hopkins University Press, Baltimore, MD, 1996.
5. B. HASSIBI, A. H. SAYED, AND T. KAILATH, Linear estimation in Krein spaces - Part I: Theory, IEEE Trans. Automat. Control, 41 (1996), pp. 18-33.
6. N. J. HIGHAM, Accuracy and Stability of Numerical Algorithms, SIAM, Philadelphia, PA, 1996.
7. S. VAN HUFFEL AND J. VANDEWALLE, The Total Least Squares Problem: Computational Aspects and Analysis, SIAM, Philadelphia, PA, 1991.
8. ∞-setting, IEEE Trans. Automat. Control, AC-36 (1991), pp. 151-166.
9. C. M. RADER AND A. O. STEINHARDT, Hyperbolic Householder transforms, SIAM J. Matrix Anal. Appl., 9 (1988), pp. 269-290.
10. A. H. SAYED, B. HASSIBI, AND T. KAILATH, Fundamental Inertia Conditions for the Minimization of Quadratic Forms in Indefinite Metric Spaces, Oper. Theory: Adv. Appl., Birkhauser, Cambridge, MA, 1996.
11. ∞-optimal estimation: A tutorial, in Proc. IEEE Conference on Decision and Control, Tucson, AZ, 1992, pp. 2278-2286.
12. G. W. STEWART, Introduction to Matrix Computations, Academic Press, New York, 1973.