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RE: (HH^t)^{-1}
- To: Mikael Adlers <mikael at mathcore dot com>
- Subject: RE: (HH^t)^{-1}
- From: Faheem Mitha <faheem at email dot unc dot edu>
- Date: Thu, 11 Oct 2001 11:52:39 -0400 (EDT)
- cc: <gsl-discuss at sources dot redhat dot com>
On Thu, 11 Oct 2001, Mikael Adlers wrote:
> The problem of computing \mu is a least squares problem. What you
> have written is the normal equations to
>
> min || H\mu - h||_2
>
> Another way is to solve the problem by QR factorization, H = Q*R,
> ||H\mu -h||_2 = ||R \mu - Q^Th||_2. To solve this you solve R \mu = Q^Tb
> This method has much better error bounds and should be preferred.
Dear Mikael Adlers,
Thanks, this is a really good suggestion. I was handed these expressions
by someone else (I think they come from Bayesian computations) but I
haven't checked them myself. Like a ninny, I didn't realise /mu was a
solution to a least squares problem. This way of handling it is certainly
much better than the clumsy things I was doing. Thanks a lot for pointing
it out.
Sincerely, Faheem Mitha.