Discrete least squares approximation by trigonometric polynomials
Lothar Reichel, Gregory S. Ammar, William B. Gragg · Mathematics of Computation · 1991
We present an efficient and reliable algorithm for discrete least squares approximation of a real-valued function given at arbitrary distinct nodes in $[0,2\pi )$ by trigonometric polynomials. The algorithm is based on a scheme for the solution of an inverse eigenproblem for unitary Hessenberg matrices, and requires only $O(mn)$ arithmetic operations as compared with $O(m{n^2})$ operations needed for algorithms that ignore the structure of the problem. Moreover, the proposed algorithm produces consistently accurate results that are often better than those obtained by general QR decomposition methods for the least squares problem. Our algorithm can also be used for discrete least squares approximation on the unit circle by algebraic polynomials.