Stability of Two Direct Methods for Bidiagonalization and Partial Least Squares

نویسنده

  • Åke Björck
چکیده

The partial least squares (PLS) method computes a sequence of approximate solutions xk ∈ Kk(AA,A b), k = 1, 2, . . . , to the least squares problem minx ‖Ax− b‖2. If carried out to completion, the method always terminates with the pseudoinverse solution x† = A†b. Two direct PLS algorithms are analyzed. The first uses the Golub–Kahan Householder algorithm for reducing A to upper bidiagonal form. The second is the NIPALS PLS algorithm, due to Wold et al., which is based on rank-reducing orthogonal projections. The Householder algorithm is known to be mixed forward-backward stable. Numerical results are given, that support the conjecture that the NIPALS PLS algorithm shares this stability property. We draw attention to a flaw in some descriptions and implementations of this algorithm, related to a similar problem in Gram–Schmidt orthogonalization, that spoils its otherwise excellent stability. For large-scale sparse or structured problems, the iterative algorithm LSQR is an attractive alternative, provided an implementation with reorthogonalization is used.

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عنوان ژورنال:
  • SIAM J. Matrix Analysis Applications

دوره 35  شماره 

صفحات  -

تاریخ انتشار 2014