The solution of the equality constrained least squares problem is considered minxcR(n) ∥f-Ex∥2 subject to Cx=g is considered. It is shown that for well-conditioned or moderately ill-conditioned problems of this form, the deferred correction procedure of Van Loan [SIAM J. Number, Anal, 22 (1985), pp. 851-864] can be made to converge in two iterations. The implementation suggestions due to Barlow [SIAM J. Numer. Anal, 25 (1988), pp. 1340-1358] are modified to obtain a more robust strategy. This modification was discovered in numerical experiments to verify the quick convergence proven in this paper. The new implementation seems to always obtain the predicted convergence behavior.
All Science Journal Classification (ASJC) codes
- Numerical Analysis