On the weighting method for least squares problems with linear equality constraints

TitleOn the weighting method for least squares problems with linear equality constraints
Publication TypeJournal Articles
Year of Publication1997
AuthorsStewart G.W
JournalBIT Numerical Mathematics
Volume37
Issue4
Pagination961 - 967
Date Published1997///
Abstract

The weighting method for solving a least squares problem with linear equality constraints multiplies the constraints by a large number and appends them to the top of the least squares problem, which is then solved by standard techniques. In this paper we give a new analysis of the method, based on the QR decomposition, that exhibits many features of the algorithm. In particular it suggests a natural criterion for chosing the weighting factor.

DOI10.1007/BF02510363