Solution of large-scale weighted least-squares problems
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Date
2002
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Numerical linear algebra with applications
Abstract
A sequence of least-squares problems of the form miny G1=2(ATy−h) 2, where G is an n×n positive definite diagonal weight matrix, and A an m×n (m6n) sparse matrix with some dense columns; has
many applications in linear programming, electrical networks, elliptic boundary value problems, and
structural analysis. We suggest low-rank correction preconditioners for such problems, and a mixed
solver (a combination of a direct solver and an iterative solver). The numerical results show that our
technique for selecting the low-rank correction matrix is very effective. Copyright ? 2002 John Wiley
& Sons, Ltd.
Description
Keywords
Least squares, Conjugate gradients, Preconditioner, Dense columns
Citation
Baryamureeba, V. (2002). Solution of large‐scale weighted least‐squares problems. Numerical linear algebra with applications , 9 (2), 93-106. DOI: 10.1002/nla.232