A Stable and Efficient Algorithm for the Indefinite Linear Least-Squares Problem

  • Authors:

  • S. Chandrasekaran;M. Gu;A. H. Sayed

  • Affiliations:

  • -;-;-

  • Venue:
  • SIAM Journal on Matrix Analysis and Applications
  • Year:
  • 1999

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Abstract

We develop an algorithm for the solution of indefinite least-squares problems. Such problems arise in robust estimation, filtering, and control, and numerically stable solutions have been lacking. The algorithm developed herein involves the QR factorization of the coefficient matrix and is provably numerically stable.