解等式约束加权线性最小二乘问题的一类直接方法

A CLASS OF DIRECT METHODS FOR SOLVING THE CONSTRAINED AND WEIGHTED LINEAR LEAST SQUARES PROBLEMS

基于广义Ｃｈｏｌｅｓｋｙ矩阵分解方法，给出了解具有等式约束的加权线性最小二乘问题的一个直接方法，该算法具有工作量小、存贮量少的优点，数值例子说明了算法的有效性。

In this paper, we give the generalized cholesky factorization method for solving the constrained andweighted linear least squares problems. The new method presented here has the advantage of diminishingboth the computational cost and storage requirement. The numerical example shows the effeCtiveness of thegeneralized Cholesky factorization method.