Solving Least-Squares Problems via a Double-Optimal Algorithm and a Variant of the Karush–Kuhn–Tucker Equation for Over-Determined Systems

A double optimal solution (DOS) of a least-squares problem Ax=b,A∈Rq×n with q≠n is derived in an m+1-dimensional varying affine Krylov subspace (VAKS); two minimization techniques exactly determine the m+1 expansion coefficients of the solution x in the VAKS. The minimal-norm solution can be obtaine...

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Vydáno v:Algorithms Ročník 17; číslo 5; s. 211
Hlavní autoři: Liu, Chein-Shan, Kuo, Chung-Lun, Chang, Chih-Wen
Médium: Journal Article
Jazyk:angličtina
Vydáno: Basel MDPI AG 01.05.2024
Témata:
absolute convergence
Algorithms
double optimal algorithm
Gaussian elimination
Iterative algorithms
Iterative methods
Least squares method
linear least-squares problems
Linear systems
Matrices (mathematics)
Methods
minimal-norm solution
Numerical analysis
Optimization
Optimization techniques
residual orthogonality
Subspaces
Thermal expansion
varying affine Krylov subspace
ISSN:1999-4893, 1999-4893
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Shrnutí:A double optimal solution (DOS) of a least-squares problem Ax=b,A∈Rq×n with q≠n is derived in an m+1-dimensional varying affine Krylov subspace (VAKS); two minimization techniques exactly determine the m+1 expansion coefficients of the solution x in the VAKS. The minimal-norm solution can be obtained automatically regardless of whether the linear system is consistent or inconsistent. A new double optimal algorithm (DOA) is created; it is sufficiently time saving by inverting an m×m positive definite matrix at each iteration step, where m≪min(n,q). The properties of the DOA are investigated and the estimation of residual error is provided. The residual norms are proven to be strictly decreasing in the iterations; hence, the DOA is absolutely convergent. Numerical tests reveal the efficiency of the DOA for solving least-squares problems. The DOA is applicable to least-squares problems regardless of whether q<n or q>n. The Moore–Penrose inverse matrix is also addressed by adopting the DOA; the accuracy and efficiency of the proposed method are proven. The m+1-dimensional VAKS is different from the traditional m-dimensional affine Krylov subspace used in the conjugate gradient (CG)-type iterative algorithms CGNR (or CGLS) and CGRE (or Craig method) for solving least-squares problems with q>n. We propose a variant of the Karush–Kuhn–Tucker equation, and then we apply the partial pivoting Gaussian elimination method to solve the variant, which is better than the original Karush–Kuhn–Tucker equation, the CGNR and the CGNE for solving over-determined linear systems. Our main contribution is developing a double-optimization-based iterative algorithm in a varying affine Krylov subspace for effectively and accurately solving least-squares problems, even for a dense and ill-conditioned matrix A with q≪n or q≫n.
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ISSN:1999-4893
1999-4893
DOI:10.3390/a17050211