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Perturbation analysis and condition numbers of scaled total least squares problems

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Abstract

The standard approaches to solving an overdetermined linear system Ax ≈ b find minimal corrections to the vector b and/or the matrix A such that the corrected system is consistent, such as the least squares (LS), the data least squares (DLS) and the total least squares (TLS). The scaled total least squares (STLS) method unifies the LS, DLS and TLS methods. The classical normwise condition numbers for the LS problem have been widely studied. However, there are no such similar results for the TLS and the STLS problems. In this paper, we first present a perturbation analysis of the STLS problem, which is a generalization of the TLS problem, and give a normwise condition number for the STLS problem. Different from normwise condition numbers, which measure the sizes of both input perturbations and output errors using some norms, componentwise condition numbers take into account the relation of each data component, and possible data sparsity. Then in this paper we give explicit expressions for the estimates of the mixed and componentwise condition numbers for the STLS problem. Since the TLS problem is a special case of the STLS problem, the condition numbers for the TLS problem follow immediately from our STLS results. All the discussions in this paper are under the Golub-Van Loan condition for the existence and uniqueness of the STLS solution.

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Authors and Affiliations

  1. Institute of Mathematics, School of Mathematical Science, Fudan University, Shanghai, 200433, People’s Republic of China

    Liangmin Zhou, Lijing Lin & Yimin Wei

  2. Key Laboratory of Nonlinear Science (Fudan University), Ministry of Education, Shanghai, 200433, People’s Republic of China

    Liangmin Zhou, Lijing Lin & Yimin Wei

  3. Department of Computing and Software, McMaster University, Hamilton, Ontario, Canada, L8S 4K1

    Sanzheng Qiao

Authors
  1. Liangmin Zhou
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  2. Lijing Lin
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  3. Yimin Wei
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  4. Sanzheng Qiao
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Corresponding author

Correspondence to Yimin Wei.

Additional information

In memory of Prof. Gene H. Golub.

Yimin Wei is supported by the National Natural Science Foundation of China under grant 10871051, Shanghai Science & Technology Committee under grant 08DZ2271900 and Shanghai Education Committee under grant 08SG01. Sanzheng Qiao is partially supported by Shanghai Key Laboratory of Contemporary Applied Mathematics of Fudan University during his visiting.

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Zhou, L., Lin, L., Wei, Y. et al. Perturbation analysis and condition numbers of scaled total least squares problems. Numer Algor 51, 381–399 (2009). https://doi.org/10.1007/s11075-009-9269-0

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