Orthogonal Factorizations and Linear Least Squares Problems



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Orthogonal Factorizations and Linear Least Squares Problems

 

LAPACK provides a number of routines for factorizing a general rectangular m-by-n matrix A, as the product of an orthogonal matrix (unitary if complex) and a triangular (or possibly trapezoidal) matrix.

A real matrix Q is orthogonal if ; a complex matrix Q is unitary if . Orthogonal or unitary matrices have the important property that they leave the two-norm of a vector invariant:

As a result, they help to maintain numerical stability because they do not   amplify rounding errors.

Orthogonal factorizations  are used in the solution of linear least squares problems . They may also be used to perform preliminary steps in the solution of eigenvalue or singular value problems.






Tue Nov 29 14:03:33 EST 1994