Testing Numerical Methods Solving the Linear Least Squares Problem

Claus Weihs ()
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Claus Weihs: Technische Universität Dortmund, Fakultät Statistik

A chapter in Statistical Inference, Econometric Analysis and Matrix Algebra, 2009, pp 333-347 from Springer

Abstract: Abstract The paper derives a general method for testing algorithms solving the Least-Squares-Problem (LS-Problem) of a linear equation system. This test method includes the generation of singular test matrices with arbitrary condition, full column rank and exactly representable generalized inverses, as well as a method for choosing general right hand sides. The method is applied to three LS-Problem solvers in order to assess under what conditions the error in the least squares solution is only linearly dependent on the condition number.

Keywords: Condition Number; Generalize Inverse; Test Matrice; Full Column Rank; Diploma Thesis (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2121-5_23

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DOI: 10.1007/978-3-7908-2121-5_23

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