| One general reference is "Matrix Computations" by Golub and Van Loan,
published by Johns Hopkins Press. For least squares, see "Solving
Least Squares Problems" by Lawson and Hanson, which has FORTRAN
routine listings.
Algorithms for these are available on-line (in FORTRAN...) from
netlib - in particular see ACM algorithms 544 (weighted least squares
solutions), 551/552 for L1 solutions of over determined equations
and 495 for the Chebychev (L_infinity or minimax) norm.
You can obtain these by sending a message to netlib (at Oak Ridge
National Labs) of the following form:
to: DECWRL::"[email protected]"
subj: send 544 from toms
one line message: send 544 from toms
You can also ask for "send index from toms" or just "send index" to find
the other goodies.
Hope this helps... you'll find that the least squares case is by far
the easiest to implement and I'd recommend trying that first.
- Jim
|