A Regularized Total Least Squares Algorithm

Error-contaminated systems Ax ≈ b, for which A is ill-conditioned, are considered. Such systems may be solved using Tikhonov-like regularized total least squares (R-TLS) methods. Golub et al, 1999, presented a direct algorithm for the solution of the Lagrange multiplier formulation for the R-TLS problem. Here we present a parameter independent algorithm for the approximate R-TLS solution. The algorithm, which utilizes the shifted inverse power method, relies only on a prescribed estimate for the regularization constraint condition and does not require the specification of other regularization parameters. An extension of the algorithm for nonsmooth solutions is also presented.