%0 Report %1 lawn188 %A Demmel, James W. %A Hida, Yozo %A Li, Xiaoye S. %A Riedy, E. Jason %D 2007 %K floatingpoint lapack lawn leastsquares %N 188 %T Extra-precise iterative refinement for overdetermined least squares problems %U http://www.netlib.org/lapack/lawnspdf/lawn188.pdf %X 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 $O(\varepsilon)$ unless the system is too ill conditioned. In contrast to linear systems, we provide two separate error bounds for the solution $x$ and the residual $r$. The refinement algorithm requires only limited use of extra precision and adds only $O(mn)$ work to the $O(mn^2)$ cost of QR factorization for problems of size m-by-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.

@techreport{lawn188, 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 Bj\"orck’s augmented linear system formulation of an LLS problem. Our algorithm reduces the forward normwise and componentwise errors to $O(\varepsilon)$ unless the system is too ill conditioned. In contrast to linear systems, we provide two separate error bounds for the solution $x$ and the residual $r$. The refinement algorithm requires only limited use of extra precision and adds only $O(mn)$ work to the $O(mn^2)$ cost of QR factorization for problems of size m-by-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.}, added-at = {2007-10-09T07:01:39.000+0200}, author = {Demmel, James W. and Hida, Yozo and Li, Xiaoye S. and Riedy, E. Jason}, biburl = {https://www.bibsonomy.org/bibtex/216d257ec574c28228f8778628b72bb76/ejr}, ejr-withauthor = {James W. Demmel and Yozo Hida and Xiaoye S. Li}, institution = {Netlib}, interhash = {53108989d1a6069fdaf4ec55d0ad9547}, intrahash = {16d257ec574c28228f8778628b72bb76}, keywords = {floatingpoint lapack lawn leastsquares}, month = May, note = {Also issued as UCB/EECS-2007-77; sumbitted to TOMS.}, number = 188, role = {technical report}, timestamp = {2007-10-09T07:02:19.000+0200}, title = {Extra-precise iterative refinement for overdetermined least squares problems}, type = {LAPACK Working Note}, url = {http://www.netlib.org/lapack/lawnspdf/lawn188.pdf}, year = 2007 }