ALAFF What you will learn

\( \usepackage{array} \setlength{\oddsidemargin}{-0.0in} \setlength{\evensidemargin}{-0.0in} \setlength{\textheight}{8.75in} \setlength{\textwidth}{6.5in} \setlength{\topmargin}{-0.25in} \newcommand{\R}{\mathbb R} \newcommand{\Rm}{\mathbb R^m} \newcommand{\Rn}{\mathbb R^n} \newcommand{\Rnxn}{\mathbb R^{n \times n}} \newcommand{\Rmxn}{\mathbb R^{m \times n}} \newcommand{\Rmxm}{\mathbb R^{m \times m}} \newcommand{\Rmxk}{\mathbb R^{m \times k}} \newcommand{\Rkxn}{\mathbb R^{k \times n}} \newcommand{\C}{\mathbb C} \newcommand{\Cm}{\mathbb C^m} \newcommand{\Cmxm}{\mathbb C^{m \times m}} \newcommand{\Cnxn}{\mathbb C^{n \times n}} \newcommand{\Cmxn}{\mathbb C^{m \times n}} \newcommand{\Ckxk}{\mathbb C^{k \times k}} \newcommand{\Cn}{\mathbb C^n} \newcommand{\Ck}{\mathbb C^k} \newcommand{\Null}{{\cal N}} \newcommand{\Col}{{\cal C}} \newcommand{\Rowspace}{{\cal R}} \newcommand{\Span}{{\rm {Span}}} \newcommand{\rank}{{\rm rank}} \newcommand{\triu}{{\rm triu}} \newcommand{\tril}{{\rm tril}} \newcommand{\sign}{{\rm sign}} \newcommand{\FlaTwoByTwo}[4]{ \left( \begin{array}{c | c} #1 \amp #2 \\ \hline #3 \amp #4 \end{array} \right) } \newcommand{\FlaTwoByTwoSingleLine}[4]{ \left( \begin{array}{c c} #1 \amp #2 \\ #3 \amp #4 \end{array} \right) } \newcommand{\FlaTwoByTwoSingleLineNoPar}[4]{ \begin{array}{c c} #1 \amp #2 \\ #3 \amp #4 \end{array} } \newcommand{\FlaOneByTwo}[2]{ \left( \begin{array}{c | c} #1 \amp #2 \end{array} \right) } \newcommand{\FlaOneByTwoSingleLine}[2]{ \left( \begin{array}{c c} #1 \amp #2 \end{array} \right) } \newcommand{\FlaTwoByOne}[2]{ \left( \begin{array}{c} #1 \\ \hline #2 \end{array} \right) } \newcommand{\FlaTwoByOneSingleLine}[2]{ \left( \begin{array}{c} #1 \\ #2 \end{array} \right) } \newcommand{\FlaThreeByOneB}[3]{ \left( \begin{array}{c} #1 \\ \hline #2 \\ #3 \end{array} \right) } \newcommand{\FlaThreeByOneT}[3]{ \left( \begin{array}{c} #1 \\ #2 \\ \hline #3 \end{array} \right) } \newcommand{\FlaOneByThreeR}[3]{ \left( \begin{array}{c | c c} #1 \amp #2 \amp #3 \end{array} \right) } \newcommand{\FlaOneByThreeL}[3]{ \left( \begin{array}{c c | c} #1 \amp #2 \amp #3 \end{array} \right) } \newcommand{\FlaThreeByThreeBR}[9]{ \left( \begin{array}{c | c c} #1 \amp #2 \amp #3 \\ \hline #4 \amp #5 \amp #6 \\ #7 \amp #8 \amp #9 \end{array} \right) } \newcommand{\FlaThreeByThreeTL}[9]{ \left( \begin{array}{c c | c} #1 \amp #2 \amp #3 \\ #4 \amp #5 \amp #6 \\ \hline #7 \amp #8 \amp #9 \end{array} \right) } \newcommand{\diag}[1]{{\rm diag}( #1 )} \newcommand{\URt}{{\sc HQR}} \newcommand{\FlaAlgorithm}{ \begin{array}{|l|} \hline \routinename \\ \hline \partitionings \\ ~~~ \begin{array}{l} \partitionsizes \end{array} \\ {\bf \color{blue} {while}~} \guard \\ ~~~ \begin{array}{l} \repartitionings \end{array} \\ ~~~ \color{red} { \begin{array}{l} \hline \color{black} {\update} \\ \hline \end{array}} \\ ~~~ \begin{array}{l} \moveboundaries \end{array} \\ {\bf \color{blue} {endwhile}} \\ \hline \end{array} } \newcommand{\FlaAlgorithmWithInit}{ \begin{array}{|l|} \hline \routinename \\ \hline \initialize \\ \partitionings \\ ~~~ \begin{array}{l} \partitionsizes \end{array} \\ {\bf \color{blue} {while}~} \guard \\ ~~~ \begin{array}{l} \repartitionings \end{array} \\ ~~~ \color{red} { \begin{array}{l} \hline \color{black} {\update} \\ \hline \end{array}} \\ ~~~ \begin{array}{l} \moveboundaries \end{array} \\ {\bf \color{blue} {endwhile}} \\ \hline \end{array} } \newcommand{\FlaBlkAlgorithm}{ \begin{array}{|l|} \hline \routinename \\ \hline \partitionings \\ ~~~ \begin{array}{l} \partitionsizes \end{array} \\ {\bf \color{blue} {while}~} \guard \\ ~~~ {\bf choose~block~size~} \blocksize \\ ~~~ \begin{array}{l} \repartitionings \end{array} \\ ~~~ ~~~ \repartitionsizes \\ ~~~ \color{red} { \begin{array}{l} \hline \color{black} {\update} \\ \hline \end{array}} \\ ~~~ \begin{array}{l} \moveboundaries \end{array} \\ {\bf \color{blue} {endwhile}} \\ \hline \end{array} } \newcommand{\complexone}{ \begin{array}{|c|}\hline \!\pm\! \\ \hline \end{array}~ } \newcommand{\HQR}{{\rm HQR}} \newcommand{\QR}{{\rm QR}} \newcommand{\st}{{\rm \ s.t. }} \newcommand{\QRQ}{{\rm {\normalsize \bf Q}{\rm \tiny R}}} \newcommand{\QRR}{{\rm {\rm \tiny Q}{\bf \normalsize R}}} \newcommand{\deltaalpha}{\delta\!\alpha} \newcommand{\deltax}{\delta\!x} \newcommand{\deltay}{\delta\!y} \newcommand{\deltaz}{\delta\!z} \newcommand{\deltaw}{\delta\!w} \newcommand{\DeltaA}{\delta\!\!A} \newcommand{\meps}{\epsilon_{\rm mach}} \newcommand{\fl}[1]{{\rm fl( #1 )}} \newcommand{\becomes}{:=} \newcommand{\defrowvector}[2]{ \left(#1_0, #1_1, \ldots, #1_{#2-1}\right) } \newcommand{\tr}[1]{{#1}^T} \newcommand{\LUpiv}[1]{{\rm LU}(#1)} \newcommand{\maxi}{{\rm maxi}} \newcommand{\Chol}[1]{{\rm Chol}( #1 )} \newcommand{\lt}{<} \newcommand{\gt}{>} \newcommand{\amp}{&} \)

Subsection 4.1.3 What you will learn

This week is all about solving linear least squares, a fundamental problem encountered when fitting data or approximating matrices.

Upon completion of this week, you should be able to

Formulate a linear least squares problem.
Transform the least squares problem into normal equations.
Relate the solution of the linear least squares problem to the four fundamental spaces.
Describe the four fundamental spaces of a matrix using its singular value decomposition.
Solve the solution of the linear least squares problem via Normal Equations, the Singular Value Decomposition, and the QR decomposition.
Compare and contrast the accuracy and cost of the different approaches for solving the linear least squares problem.