BIT Numerical Mathematics

, Volume 37, Issue 4, pp 961–967

On the weighting method for least squares problems with linear equality constraints

  • G. W. Stewart
Article

DOI: 10.1007/BF02510363

Cite this article as:
Stewart, G.W. Bit Numer Math (1997) 37: 961. doi:10.1007/BF02510363

Abstract

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.

AMS subject classification

65F20 

Key words

Least squares problem linear equality constraints weighting 

Copyright information

© Swets & Zeitlinger 1997

Authors and Affiliations

  • G. W. Stewart
    • 1
  1. 1.Department of Computer Science and Institute for Advanced Computer StudiesUniversity of MarylandCollege Park

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