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Volume :28 Issue : 1 2001      Add To Cart                                                                    Download

Rational-Lanczos technique for solving total least squares problems

Auther : MOHAMMEDI R. ABDEL-AZIZ

Department of Mathematics and Computer Science, Faculty of Science, Kuwait University. P.O. Box 5969, Safat 13060, Kuwait

( On leave from Department of Mathematics, Faculty of Science. Alexandria University, Egypt.)

ABSTRACT

This paper aims to introduce an iterative algorithm for solving large scale total least squares problems. The algorithm is based on solving a sequence of linear systems and adjusting the minimum eigenvalue. The implicitly restarted Lanczos method is determined to be well suited for solving linear systems arising during the iterations. A rational interpolation scheme is developed for updating the minimum eigenvalue. A local convergence theory for this algorithm is presented. It is shown that this algorithm is faster than Newtons method.

Keywords: Convergence analysis; implicitly restarted Lanczos method; rational interpolation; total least squares problem.

AMS(MOS) Subject classification: 65F15, 65G05

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