Electrical Engineering
      and Computer Sciences

Electrical Engineering and Computer Sciences

COLLEGE OF ENGINEERING

UC Berkeley

Extra-precise Iterative Refinement for Overdetermined Least Squares Problems

James Demmel, Yozo Hida, Xiaoye Li and Edward Jason Riedy

EECS Department
University of California, Berkeley
Technical Report No. UCB/EECS-2007-77
May 31, 2007

http://www.eecs.berkeley.edu/Pubs/TechRpts/2007/EECS-2007-77.pdf

We present the algorithm, error bounds, and numerical results for extra-precise iterative refinement applied to overdetermined linear least squares (LLS) problems. We apply our linear system refinement algorithm to Björck's augmented linear system formulation of an LLS problem. Our algorithm reduces the forward normwise and componentwise errors to O(ε) unless the system is too ill conditioned. In contrast to linear systems, we provide two separate error bounds for the solution x and the residual r. The refinement algorithm requires only limited use of extra precision and adds only O(m n) work to the O(m n2) cost of QR factorization for problems of size m-by- n. The extra precision calculation is facilitated by the new extended-precision BLAS standard in a portable way, and the refinement algorithm will be included in a future release of LAPACK and can be extended to the other types of least squares problems.


BibTeX citation:

@techreport{Demmel:EECS-2007-77,
    Author = {Demmel, James and Hida, Yozo and Li, Xiaoye and Riedy, Edward Jason},
    Title = {Extra-precise Iterative Refinement for Overdetermined Least Squares Problems},
    Institution = {EECS Department, University of California, Berkeley},
    Year = {2007},
    Month = {May},
    URL = {http://www.eecs.berkeley.edu/Pubs/TechRpts/2007/EECS-2007-77.html},
    Number = {UCB/EECS-2007-77},
    Abstract = {We present the algorithm, error bounds, and numerical results for extra-precise iterative refinement applied to overdetermined linear least squares (LLS) problems. We apply our linear system refinement algorithm to Bj&#246;rck's augmented linear system formulation of an LLS problem. Our algorithm reduces the forward normwise and componentwise errors to <i>O(&#949;)</i> unless the system is too ill conditioned. In contrast to linear systems, we provide two separate error bounds for the solution <i>x</i> and the residual <i>r</i>. The refinement algorithm requires only limited use of extra precision and adds only <i>O(m n)</i> work to the <i>O(m n<sup>2</sup>)</i> cost of QR factorization for problems of size <i>m</i>-by-<i>n</i>. The extra precision calculation is facilitated by the new extended-precision BLAS standard in a portable way, and the refinement algorithm will be included in a future release of LAPACK and can be extended to the other types of least squares problems.}
}

EndNote citation:

%0 Report
%A Demmel, James
%A Hida, Yozo
%A Li, Xiaoye
%A Riedy, Edward Jason
%T Extra-precise Iterative Refinement for Overdetermined Least Squares Problems
%I EECS Department, University of California, Berkeley
%D 2007
%8 May 31
%@ UCB/EECS-2007-77
%U http://www.eecs.berkeley.edu/Pubs/TechRpts/2007/EECS-2007-77.html
%F Demmel:EECS-2007-77