Improved error bounds for underdetermined system solvers

Demmel, James W. and Higham, Nicholas J. (1993) Improved error bounds for underdetermined system solvers. SIAM Journal On Matrix Analysis And Applications, 14 (1). pp. 1-14. ISSN 1095-7162

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The minimal 2-norm solution to an underdetermined system $Ax = b$ of full rank can be computed using a QR factorization of $A^T $ in two different ways. One method requires storage and reuse of the orthogonal matrix $Q$, while the method of seminormal equations does not. Existing error analyses show that both methods produce computed solutions whose normwise relative error is bounded to first order by $c\kappa_2 ( A )u$, where $c$ is a constant depending on the dimensions of $A$, $\kappa_2 ( A ) = \| A^ + \|_2 \| A \|_2 $ is the 2-norm condition number, and $u$ is the unit roundoff. It is shown that these error bounds can be strengthened by replacing $\kappa_2(A)$ by the potentially much smaller quantity ${\operatorname{cond}}_2 ( A ) = \| \,| A^ + | \cdot | A |\, \|_2 $, which is invariant under row scaling of $A$. It is also shown that ${\operatorname{cond}}_2 ( A )$ reflects the sensitivity of the minimum norm solution $x$ to row-wise relative perturbations in the data $A$ and $b$. For square linear systems $Ax = b$ row equilibration is shown to endow solution methods based on LU or QR factorization of $A$ with relative error bounds proportional to ${\operatorname{cond}}_\infty ( A )$, just as when a QR factorization of $A^T $ is used. The advantages of using fixed precision iterative refinement in this context instead of row equilibration are explained.

Item Type: Article
Uncontrolled Keywords: underdetermined system, seminormal equations, QR factorization, rounding error analysis, backward error, componentwise error bounds, iterative refinement, row scaling
Subjects: MSC 2010, the AMS's Mathematics Subject Classification > 15 Linear and multilinear algebra; matrix theory
MSC 2010, the AMS's Mathematics Subject Classification > 65 Numerical analysis
Depositing User: Ms Lucy van Russelt
Date Deposited: 03 Jul 2006
Last Modified: 20 Oct 2017 14:12

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