A weighted pseudoinverse, generalized singular values, and constrained least squares problems
- Lars Eldén
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The weighted pseudoinverse providing the minimum semi-norm solution of the weighted linear least squares problem is studied. It is shown that it has properties analogous to those of the Moore-Penrose pseudoinverse. The relation between the weighted pseudoinverse and generalized singular values is explained. The weighted pseudoinverse theory is used to analyse least squares problems with linear and quadratic constraints. A numerical algorithm for the computation of the weighted pseudoinverse is briefly described.
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- A weighted pseudoinverse, generalized singular values, and constrained least squares problems
BIT Numerical Mathematics
Volume 22, Issue 4 , pp 487-502
- Cover Date
- Print ISSN
- Online ISSN
- Kluwer Academic Publishers
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- Least squares
- weight matrix
- generalized singular values
- Industry Sectors
- Lars Eldén (1)
- Author Affiliations
- 1. Department of Mathematics, Linköping University, S-58183, Linköping, Sweden