A dynamic method for weighted linear least squares problems

Authors:
X.-Y. Wu;J.-L. Xia;F. Yang
Affiliations:
Department of Mathematics, State Key Laboratory for Novel Software Technology, Nanjing University, Nanjing, 210093 P.R. China;Department of Mathematics, State Key Laboratory for Novel Software Technology, Nanjing University, Nanjing, 210093 P.R. China;Department of Mathematics, State Key Laboratory for Novel Software Technology, Nanjing University, Nanjing, 210093 P.R. China
Venue:
Computing
Year:
2002

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Abstract

A new method for solving the weighted linear least squares problems with full rank is proposed. Based on the theory of Liapunov's stability, the method associates a dynamic system with a weighted linear least squares problem, whose solution we are interested in and integrates the former numerically by an A-stable numerical method. The numerical tests suggest that the new method is more than comparative with current conventional techniques based on the normal equations.