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- Title
A structurally backward stable algorithm for solving the indefinite least squares problem with equality constraints.
- Authors
Mastronardi, Nicola; Van Dooren, Paul
- Abstract
The equality constrained indefinite least squares problem involves the minimization of an indefinite quadratic form subject to a linear equality constraint. In this paper, we study this problem and present a numerical method that is proved to be backward stable in a strict sense, i.e., that the computed solution satisfies a slightly perturbed equality constrained indefinite least squares problem. We also perform a sensitivity analysis of this problem and derive bounds for the accuracy of the computed solution. We give several numerical experiments to illustrate these results.
- Subjects
LEAST squares; SUM of squares; MATHEMATICAL statistics; NUMERICAL analysis; MATHEMATICAL analysis
- Publication
IMA Journal of Numerical Analysis, 2015, Vol 35, Issue 1, p107
- ISSN
0272-4979
- Publication type
Article
- DOI
10.1093/imanum/dru004