Efficient computation of condition estimates for linear least squares problems

Marc Baboulin, Serge Gratton, Remi Lacroix, Alan Laub
Inria and Universite Paris-Sud, France
LAPACK Working Note 273, 2012

   title={Efficient computation of condition estimates for linear least squares problems},

   author={Baboulin, Marc and Gratton, Serge and Lacroix, Remi and Laub, Alan},



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Linear least squares (LLS) is a classical linear algebra problem in scientific computing, arising for instance in many parameter estimation problems. In addition to computing efficiently LLS solutions, an important issue is to assess the numerical quality of the computed solution. The notion of conditioning provides a theoretical framework that can be used to measure the numerical sensitivity of a problem solution to perturbations in its data. We recall some results for least squares conditioning and we derive a statistical estimate for the conditioning of an LLS solution. We present numerical experiments to compare exact values and statistical estimates. We also propose performance results using new routines on top of the multicore-GPU library MAGMA. This set of routines is based on an efficient computation of the variance-covariance matrix for which, to our knowledge, there is no implementation in current public domain libraries LAPACK and ScaLAPACK.
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