hfti: Least Squares Solution using Householder Transformation
Description
Solves the least squares problem using Householder forward
triangulation with column interchanges. It is an R interface to the
HFTI function that is described in Lawson and Hanson
(1974, 1995). Its Fortran implementation is public domain and is
available at http://www.netlib.org/lawson-hanson.
Usage
hfti(a, b, tol=1e-7)
Arguments
a
Design matrix.
b
Response vector or matrix.
tol
Tolerance for determining the pseudorank.
Value
b
first krank elements contains the solution
krank
psuedo-rank
rnorm
Euclidean norm of the residual vector.
Details
Given matrix a and vector b, hfti solves the
least squares problem:
$$\mathrm{minimize\ \ } || a x - b ||.$$
References
Lawson and Hanson (1974, 1995). Solving least squares
problems. Englewood Cliffs, N.J., Prentice-Hall.