Richardson Approach or Direct Methods? What to Apply in the Ill-Conditioned Least Squares Problem

02/17/2023

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by   Alexander Stotsky, et al.

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This report shows on real data that the direct methods such as LDL decomposition and Gaussian elimination for solving linear systems with ill-conditioned matrices provide inaccurate results due to divisions by very small numbers, which in turn results in peaking phenomena and large estimation errors. Richardson iteration provides accurate results without peaking phenomena since division by small numbers is absent in the Richardson approach. In addition, two preconditioners are considered and compared in the Richardson iteration: 1) the simplest and robust preconditioner based on the maximum row sum matrix norm and 2) the optimal one based on calculation of the eigenvalues. It is shown that the simplest preconditioner is more robust for ill-conditioned case and therefore it is recommended for many applications.