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| Content Provider | ACM Digital Library |
|---|---|
| Author | Hida, Yozo Li, Xiaoye S. Riedy, E. Jason Demmel, James |
| Copyright Year | 2009 |
| Abstract | We present the algorithm, error bounds, and numerical results for extra-precise iterative refinement applied to overdetermined linear least squares (LLS) problems. We apply our linear system refinement algorithm to Björck’s augmented linear system formulation of an LLS problem. Our algorithm reduces the forward normwise and componentwise errors to $O(ϵ_{w}),$ where $ϵ_{w}$ is the working precision, unless the system is too ill conditioned. In contrast to linear systems, we provide two separate error bounds for the solution $\textit{x}$ and the residual $\textit{r}.$ The refinement algorithm requires only limited use of extra precision and adds only $\textit{O}(\textit{mn})$ work to the $O(mn^{2})$ cost of QR factorization for problems of size $\textit{m}-by-\textit{n}.$ The extra precision calculation is facilitated by the new extended-precision BLAS standard in a portable way, and the refinement algorithm will be included in a future release of LAPACK and can be extended to the other types of least squares problems. |
| Starting Page | 1 |
| Ending Page | 32 |
| Page Count | 32 |
| File Format | |
| ISSN | 00983500 |
| e-ISSN | 15577295 |
| DOI | 10.1145/1462173.1462177 |
| Volume Number | 35 |
| Issue Number | 4 |
| Journal | ACM Transactions on Mathematical Software (TOMS) |
| Language | English |
| Publisher | Association for Computing Machinery (ACM) |
| Publisher Date | 2009-02-01 |
| Publisher Place | New York |
| Access Restriction | One Nation One Subscription (ONOS) |
| Subject Keyword | BLAS LAPACK Linear algebra Floating-point arithmetic |
| Content Type | Text |
| Resource Type | Article |
| Subject | Applied Mathematics Software |
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