Large-scale Tikhonov regularization of total least squares

  • Authors:
  • JöRg Lampe;Heinrich Voss

  • Affiliations:
  • Germanischer Lloyd SE, D-20457 Hamburg, Germany;Institute of Numerical Simulation, Hamburg University of Technology, D-21071 Hamburg, Germany

  • Venue:
  • Journal of Computational and Applied Mathematics
  • Year:
  • 2013

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Abstract

The total least squares (TLS) method is a successful approach for linear problems when not only the right-hand side but the system matrix is also contaminated by some noise. For ill-posed TLS problems regularization is necessary to stabilize the computed solution. In this paper we present a new approach for computing an approximate solution of the Tikhonov-regularized large-scale total least-squares problem. An iterative method is proposed which solves a convergent sequence of projected linear systems and thereby builds up a highly suitable search space. The focus is on efficient implementation with particular emphasis on the reuse of information.