Block Downdating of Least Squares Solutions
Lars Eldén, H. Park · SIAM Journal on Matrix Analysis and Applications · 1994
This paper introduces new algorithms that extend the UNPACK downdating algorithm for a single row downdating, to downdating of a block of rows in an efficient way. The method of the corrected seminormal equations is then applied to the UNPACK-type block down-dating algorithm to produce accurate downdated solutions. A sensitivity analysis of the Cholesky block downdating problem is presented. Based on this analysis, a hybrid algorithm is developed that has the advantages of the lower computational cost of the UNPACK-type algorithm and the higher accuracy of the corrected seminormal equation (CSNE) block downdating algorithm. Numerical test results comparing the accuracy of these three new block downdating algorithms for the recursive least squares sliding window method are presented.