TY - JOUR
T1 - Condition Number for Weighted Linear Least Squares Problem
AU - Yimin Wei, Huaian Diao & Sanzheng Qiao
JO - Journal of Computational Mathematics
VL - 5
SP - 561
EP - 572
PY - 2007
DA - 2007/10
SN - 25
DO - http://doi.org/
UR - https://global-sci.org/intro/article_detail/jcm/8713.html
KW - Moore-Penrose inverse, Condition number, Linear least squares.
AB - <p style="text-align: justify;">In this paper, we investigate the condition numbers for the generalized matrix inversion and the rank deficient linear least squares problem: $\min_x \|Ax-b\|_2$, where $A$ is an $m$-by-$n$ ($m \ge n$) rank deficient matrix. We first derive an explicit expression for the condition number in the weighted Frobenius norm $\|\left[AT, \beta b\right] \|_F$ of the data $A$ and $b$, where $T$ is a positive diagonal matrix and $\beta$ is a positive scalar. We then discuss the sensitivity of the standard 2-norm condition numbers for the generalized matrix inversion and rank deficient least squares and establish relations between the condition numbers and their condition numbers called level-2 condition numbers.</p>