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Solution of large-scale weighted least-squares problems

✍ Scribed by Venansius Baryamureeba

Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
467 KB
Volume
9
Category
Article
ISSN
1070-5325

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✦ Synopsis

Abstract

A sequence of least‐squares problems of the form min~y~βˆ₯G^1/2^(A^T^ yβˆ’h)βˆ₯~2~, where G is an nΓ—n positive‐definite diagonal weight matrix, and A an mΓ—n (mβ©½n) sparse matrix with some dense columns; has many applications in linear programming, electrical networks, elliptic boundary value problems, and structural analysis. We suggest low‐rank correction preconditioners for such problems, and a mixed solver (a combination of a direct solver and an iterative solver). The numerical results show that our technique for selecting the low‐rank correction matrix is very effective. Copyright Β© 2002 John Wiley & Sons, Ltd.

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