Numerical methods for solving linear least squares problems
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- Golub, G. Numer. Math. (1965) 7: 206. doi:10.1007/BF01436075
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A common problem in a Computer Laboratory is that of finding linear least squares solutions. These problems arise in a variety of areas and in a variety of contexts. Linear least squares problems are particularly difficult to solve because they frequently involve large quantities of data, and they are ill-conditioned by their very nature. In this paper, we shall consider stable numerical methods for handling these problems. Our basic tool is a matrix decomposition based on orthogonal Householder transformations.