Error Analysis of Qr Updating with Exponential Windowing
نویسنده
چکیده
Exponential windowing is a widely used technique for suppressing the effects of old data as new data is added to a matrix. Specifically, given an n x p matrix Xn and a "forgetting factor" ß € (0, 1 ), one works with the matrix diag(/i'1_1, ß"~2, ... , \)Xn ■ In this paper we examine an updating algorithm for computing the QR factorization of diag(/j"-1, ß"~2 , ... , \)X„ and show that it is unconditionally stable in the presence of rounding errors.
منابع مشابه
Error Analysis of QR Updatingwith Exponential
abstract Exponential windowing is a widely used technique for suppressing the eeects of old data as new data is added to a matrix. Speciically, given an n p matrix X n and a \forgetting factor" 2 (0; 1), one works with the matrix diag(n1 ; n2 ; : : : ; 1)X n. In this paper we examine an updating algorithm for computing the QR factorization of diag(n1 ; n2 ; : : :; 1)X n and show that it is unco...
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