HANDBOOK SERIES LINEAR ALGEBRA SINGULAR VALUE DECOMPOSITION AND LEAST SQUARES SOLUTIONS.
STANFORD UNIV CALIF DEPT OF COMPUTER SCIENCE
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Two Algol procedures are given which are useful in linear least squares problems. The first procedure computes the singular value decomposition by first reducing the rectangular matrix A to a bidiagonal matrix, and then computing the singular values of the bidiagonal matrix by a variant of the QR algorithm. The second procedure yields the components for the linear least squares solution when it is desirable to determine a vector X tilde for which norm Ax-b sub 2 min. Author
- Statistics and Probability