Paper 3, Section II, C

Numerical Analysis
Part IB, 2010

Define the QR factorization of an m×nm \times n matrix AA and explain how it can be used to solve the least squares problem of finding the xRnx^{*} \in \mathbf{R}^{n} which minimises Axb\|A x-b\| where bRm,m>nb \in \mathbf{R}^{m}, m>n, and the norm is the Euclidean one.

Define a Householder (reflection) transformation HH and show that it is an orthogonal matrix.

Using a Householder reflection, solve the least squares problem for

A=(247031002001002),b=(97311)A=\left(\begin{array}{rrr} 2 & 4 & 7 \\ 0 & 3 & -1 \\ 0 & 0 & 2 \\ 0 & 0 & 1 \\ 0 & 0 & -2 \end{array}\right), \quad b=\left(\begin{array}{r} 9 \\ -7 \\ 3 \\ 1 \\ -1 \end{array}\right)

giving both xx^{*} and Axb\left\|A x^{*}-b\right\|.