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An algorithm for solving the indefinite least squares problem with equality constraints |
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| Authors: | Nicola Mastronardi Paul Van Dooren |
| Institution: | 1. Istituto per le Applicazioni del Calcolo “M. Picone”, Consiglio Nazionale delle Ricerche, sede di Bari, via Amendola 122D, 70126, Bari, Italy 2. Department of Mathematical Engineering, Catholic University of Louvain, Avenue Georges Lemaitre 4, 1348, Louvain-la-Neuve, Belgium |
| Abstract: | An algorithm for computing the solution of indefinite least squares problems and of indefinite least squares problems with equality constrained is presented. Such problems arise when solving total least squares problems and in H ∞-smoothing. The proposed algorithm relies only on stable orthogonal transformations reducing recursively the associated augmented matrix to proper block anti-triangular form. Some numerical results are reported showing the properties of the algorithm. |
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