A contribution to the conditioning of the total least squares problem

Details A contribution to the conditioning of the total least squares problem A contribution to the conditioning of the total least squares problem

2010-12-25

arxiv.org/abs/1012.5484v1

Computer Science

Numerical Analysis

Scientific paper

We derive closed formulas for the condition number of a linear function of the total least squares solution. Given an over determined linear system Ax=b, we show that this condition number can be computed using the singular values and the right singular vectors of [A,b] and A. We also provide an upper bound that requires the computation of the largest and the smallest singular value of [A,b] and the smallest singular value of A. In numerical examples, we compare these values and the resulting forward error bounds with existing error estimates.

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