Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/73315
Type: Artigo de periódico
Title: Upper perturbation bounds of weighted projections, weighted and constrained least squares problems
Author: Wei, MS
De Pierro, AR
Abstract: At each iteration step for solving mathematical programming and constrained optimization problems by using interior-point methods, one often needs to solve the weighted least squares (WLS) problem min(x is an element of Rn) parallel to W-1/2 (Ax + b)parallel to, or the weighted and constrained least squares (WLSE) problem min(x is an element of Rn) parallel to W-1/2 (Kx - g)parallel to subject to Lx = h, where W = diag(w(1),..., w(l)) >0 in which some w(i) --> + infinity and some w(i) --> 0. In this paper we will derive upper perturbation bounds of weighted projections associated with the WLS and WLSE problems when W ranges over the set D of positive diagonal matrices. We then apply these bounds to deduce upper perturbation bounds of solutions of WLS and WLSE problems when W ranges over D. We also extend the estimates to the cases when W ranges over a subset of real symmetric positive semidefinite matrices.
Subject: weight
projection
constrained
least squares
upper perturbation bound
Country: EUA
Editor: Siam Publications
Rights: aberto
Identifier DOI: 10.1137/S0895479898336306
Date Issue: 2000
Appears in Collections:Artigos e Materiais de Revistas Científicas - Unicamp

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