TY - JOUR
T1 - On the weighting method for least squares problems with linear equality constraints
JF - BIT Numerical Mathematics
Y1 - 1997
A1 - Stewart, G.W.
AB - The weighting method for solving a least squares problem with linear equality constraints multiplies the constraints by a large number and appends them to the top of the least squares problem, which is then solved by standard techniques. In this paper we give a new analysis of the method, based on the QR decomposition, that exhibits many features of the algorithm. In particular it suggests a natural criterion for chosing the weighting factor.
VL - 37
CP - 4
M3 - 10.1007/BF02510363
ER -