A weighted pseudoinverse,generalized singular values,and constrained least squares problems |
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Authors: | Lars Eldén |
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Affiliation: | (1) Department of Mathematics, Linköping University, S-58183 Linköping, Sweden |
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Abstract: | The weighted pseudoinverse providing the minimum semi-norm solution of the weighted linear least squares problem is studied. It is shown that it has properties analogous to those of the Moore-Penrose pseudoinverse. The relation between the weighted pseudoinverse and generalized singular values is explained. The weighted pseudoinverse theory is used to analyse least squares problems with linear and quadratic constraints. A numerical algorithm for the computation of the weighted pseudoinverse is briefly described.This work was supported in part by the Swedish Institute for Applied Mathematics. |
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Keywords: | Least squares pseudoinverse weight matrix constraint generalized singular values |
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