On the weighting method for least squares problems with linear equality constraints
- Cite this article as:
- Stewart, G.W. Bit Numer Math (1997) 37: 961. doi:10.1007/BF02510363
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.