Paper 1, Section II, C

Numerical Analysis | Part IB, 2013

Define the QR factorization of an m×nm \times n matrix AA and explain how it can be used to solve the least squares problem of finding the vector xRnx^{*} \in \mathbb{R}^{n} which minimises Axb\|A x-b\|, where bRm,m>nb \in \mathbb{R}^{m}, m>n, and the norm is the Euclidean one.

Define a Givens rotation Ω[p,q]\Omega^{[p, q]} and show that it is an orthogonal matrix.

Using a Givens rotation, solve the least squares problem for

A=[211041032000],b=[2312]A=\left[\begin{array}{lll} 2 & 1 & 1 \\ 0 & 4 & 1 \\ 0 & 3 & 2 \\ 0 & 0 & 0 \end{array}\right], \quad b=\left[\begin{array}{l} 2 \\ 3 \\ 1 \\ 2 \end{array}\right]

giving both xx^{*} and Axb\left\|A x^{*}-b\right\|.

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