Paper 2, Section II, C

Numerical Analysis
Part IB, 2019

Define the linear least squares problem for the equation

Ax=bA \mathbf{x}=\mathbf{b}

where AA is a given m×nm \times n matrix with m>n,bRmm>n, \mathbf{b} \in \mathbb{R}^{m} is a given vector and xRn\mathbf{x} \in \mathbb{R}^{n} is an unknown vector.

Explain how the linear least squares problem can be solved by obtaining a QRQ R factorization of the matrix AA, where QQ is an orthogonal m×mm \times m matrix and RR is an uppertriangular m×nm \times n matrix in standard form.

Use the Gram-Schmidt method to obtain a QRQ R factorization of the matrix

A=(111101110100)A=\left(\begin{array}{lll} 1 & 1 & 1 \\ 1 & 0 & 1 \\ 1 & 1 & 0 \\ 1 & 0 & 0 \end{array}\right)

and use it to solve the linear least squares problem in the case

b=(1236)\mathbf{b}=\left(\begin{array}{l} 1 \\ 2 \\ 3 \\ 6 \end{array}\right)