A contribution to the conditioning of the total least squares problem

We derive closed formulas for the condition number of a linear function of the total least squares solution. Given an over determined linear systems Ax = b, we show that this condition number can be computed using the singular values and the right singular vectors of [A, b] and A. We also provide an upper bound that requires the computation of the largest and the smallest singular value of [A, b] and the smallest singular value of A. In a numerical example, we compare these values with the condition estimate given in [17].

• Type: Journal
• Year: 2010
• Where: CORR
• Authors: Marc Baboulin, Serge Gratton
• Keywords: Condition Number, CORR 2010, Education, Singular Value, Smallest Singular Value