A class of preconditioners for weighted least squares problems

Venansius Baryamureeba, Trond Steihaug, and Yin Zhang

Reports in Informatics No. 170, May 1999, Department of Informatics, University of Bergen, Norway.


We consider solving a sequence of weighted linear least squares problems where the changes from one problem to the next are the weights and the right hand side (or data). This is the case for primal-dual interior-point methods. We derive a class of preconditioners based on a low rank correction to a Cholesky factorization of a weighted normal equation coefficient matrix with the previous weight.