An improved algorithm for generalized least squares estimation
Xiao-Wen Chang, David Titley-Péloquin · Numerical Algebra Control and Optimization · 2020
The textbook direct method for generalized least squares estimation was developed by Christopher C. Paige about 40 years ago. He proposed two algorithms. Suppose that the noise covariance matrix, rather than its factor, is available. Both of the Paige's algorithms involve three matrix factorizations. The first does not exploit the matrix structure of the problem, but it can be implemented by blocking techniques to reduce data communication time on modern computer processors. The second takes advantage of the matrix structure, but its main part cannot be implemented by blocking techniques. In this paper, we propose an improved algorithm. The new algorithm involves only two matrix factorizations, instead of three, and can be implemented by blocking techniques. We show that, in terms of flop counts, the improved algorithm costs less than Paige's first algorithm in any case and less than his second algorithm in some cases. Numerical tests show that in terms of CPU running time, our improved algorithm is faster than both of the existing algorithms when blocking techniques are used.