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Can you give an example which shows that loss of information can occur in forming the normal equations. How is accuracy improved using iterative improvement?

Thank you

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2 Answers 2

up vote 2 down vote accepted

Forming the normal equations doesn't lose any information. However solving them is more prone to numerical error because the condition number of $A^T A$ can be the square of the condition number of $A$.

If you look at Section 1.5 of there is a simple example that illustrates the problem. Choose $f=(1,-1)^T$ and try the problem in Matlab/Octave. Computing $A^{-1}f$ produces $(0,-1)^T$ which is good, but solving $(A^T A)^{-1}A^T f$ produces a warning and the result $(3.8320,2.8340)^T$.

The matrix in question is $A=\begin{bmatrix}1+10^{-8} & -1 \\ -1 & 1\end{bmatrix}$. $\kappa(A) \approx 4 \cdot 10^8$, $\kappa(A^TA) \approx 1.0648 \cdot 10^{17}$.

To answer the iterative accuracy improvement question, you need to indicate what iterative method you are using.

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In my experience one of the best ways to avoid the large condition number of $A^TA$ is to use the QR decomposition of $A$. –  user7530 Jan 1 '13 at 22:28
Yes, I think QR would be a good approach in absence of other information. –  copper.hat Jan 1 '13 at 22:33
Hey copper, the link is broken. If add "-2009" to the end it gets somewhere, but not sure where to find your example. –  adam W Mar 8 '13 at 22:56
@adamW: Looks like I didn't copy the link correctly in the first place. Section 1.5 –  copper.hat Mar 8 '13 at 23:58
OK, works now, thank you. –  adam W Mar 9 '13 at 1:07

iirc, if you try to fit a polynomial of degree n at equally spaced points, you get a Hilbert matrix of size n, which rapidly becomes badly ill-conditioned as n increases.

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