Paper 2, Section II, C

Numerical Analysis | Part IB, 2017

Define the linear least-squares problem for the equation Ax=bA \mathbf{x}=\mathbf{b}, where AA is an m×nm \times n matrix with m>n,bRmm>n, \mathbf{b} \in \mathbb{R}^{m} is a given vector and xRn\mathbf{x} \in \mathbb{R}^{n} is an unknown vector.

If A=QRA=Q R, where QQ is an orthogonal matrix and RR is an upper triangular matrix in standard form, explain why the least-squares problem is solved by minimizing the Euclidean norm RxQb\left\|R \mathbf{x}-Q^{\top} \mathbf{b}\right\|.

Using the method of Householder reflections, find a QR factorization of the matrix

A=[133131111111]A=\left[\begin{array}{rrr} 1 & 3 & 3 \\ 1 & 3 & 1 \\ 1 & 1 & 1 \\ 1 & 1 & -1 \end{array}\right]

Hence find the solution of the least-squares problem in the case

b=[1131]\mathbf{b}=\left[\begin{array}{r} 1 \\ 1 \\ 3 \\ -1 \end{array}\right]

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