Efficiently solving total least squares with Tikhonov identical regularization.

*(English)*Zbl 1391.90498Summary: The Tikhonov identical regularized total least squares (TI) is to deal with the ill-conditioned system of linear equations where the data are contaminated by noise. A standard approach for (TI) is to reformulate it as a problem of finding a zero point of some decreasing concave non-smooth univariate function such that the classical bisection search and Dinkelbach’s method can be applied. In this paper, by exploring the hidden convexity of (TI), we reformulate it as a new problem of finding a zero point of a strictly decreasing, smooth and concave univariate function. This allows us to apply the classical Newton’s method to the reformulated problem, which converges globally to the unique root with an asymptotic quadratic convergence rate. Moreover, in every iteration of Newton’s method, no optimization subproblem such as the extended trust-region subproblem is needed to evaluate the new univariate function value as it has an explicit expression. Promising numerical results based on the new algorithm are reported.

##### MSC:

90C26 | Nonconvex programming, global optimization |

90C20 | Quadratic programming |

90C32 | Fractional programming |

##### Keywords:

fractional programming; quadratic programming; total least square; Tikhonov regularization; bisection method; Newton’s method; trust-region subproblem; S-lemma
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\textit{M. Yang} et al., Comput. Optim. Appl. 70, No. 2, 571--592 (2018; Zbl 1391.90498)

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