The Parametric Quadratic Form Method for Solving TLS Problems with Elementwise Weighting

Amedeo Premoli and Maria Luisa Rastello ()
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Amedeo Premoli: Politecnico di Milano, Dipartimento di Elettronica e Informazione
Maria Luisa Rastello: Istituto Elettrotecnico Nazionale G. Ferraris

A chapter in Total Least Squares and Errors-in-Variables Modeling, 2002, pp 67-76 from Springer

Abstract: Abstract This paper considers the Total Least Squares (TLS) problem with Elementwise Weighting (EW), removing the assumption of identical variances of data and observation errors while preserving their statistical independence. To solve them we approximate the gradient of the weighted Frobenius norm of errors by the gradient of an ad hoc Parametric Quadratic Form and present a fast iterative algorithm, exhibiting quadratic convergence. Some numerical examples show the capabilities of this algorithm in solving EW-TLS problems.

Keywords: elementwise-weighted total least squares; parametric quadratic form. (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-017-3552-0_7

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DOI: 10.1007/978-94-017-3552-0_7

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