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.
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Communicated by Åke Björck.
This work was supported in part by the National Science Foundation under grant CCR 95503126.
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Stewart, G.W. On the weighting method for least squares problems with linear equality constraints. Bit Numer Math 37, 961–967 (1997). https://doi.org/10.1007/BF02510363
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DOI: https://doi.org/10.1007/BF02510363