Linear Least Squares Problems
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چکیده
A fundamental task in scientific computing is to estimate parameters in a mathematical model from collected data which are subject to errors. The influence of the errors can be reduced by using a greater number of data than the number of unknowns. If the model is linear, the resulting problem is then to “solve” an in general inconsistent linear system Ax = b, where A ∈ Rm×n and m ≥ n. In other words, we want to find a vector x ∈ R such that Ax is in some sense the “best” approximation to the known vector b ∈ R. There are many possible ways of defining the “best” solution to an inconsistent linear system. A choice which can often be motivated for statistical reasons (see Theorem 8.1.6) and leads also to a simple computational problem is the following: Let x be a vector which minimizes the Euclidian length of the residual vector r = b−Ax; i.e., a solution to the minimization problem
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تاریخ انتشار 2012