On the weighting method for least squares problems with linear equality constraints
- G. W. Stewart
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The weighting method for solving a least squares problem with linear equality constraints multiplies the constraints by a large number and appends them to the top of the least squares problem, which is then solved by standard techniques. In this paper we give a new analysis of the method, based on the QR decomposition, that exhibits many features of the algorithm. In particular it suggests a natural criterion for chosing the weighting factor.
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- On the weighting method for least squares problems with linear equality constraints
BIT Numerical Mathematics
Volume 37, Issue 4 , pp 961-967
- Cover Date
- Print ISSN
- Online ISSN
- Kluwer Academic Publishers
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- Least squares problem
- linear equality constraints
- Industry Sectors
- G. W. Stewart (1)
- Author Affiliations
- 1. Department of Computer Science and Institute for Advanced Computer Studies, University of Maryland, 20742, College Park, MD