Iterative Solution of Weighted Linear Least Squares Problems

In this report we show that the iterated regularization scheme due to Riley and Golub, sometimes also called the iterated Tikhonov regularization, can be generalized to damped least squares problems where the weights matrix D is not necessarily the identity but a general symmetric and positive definite matrix. We show that the iterative scheme approaches the same point as the unique solutions of the regularized problem, when the regularization parameter goes to 0. Furthermore this point can be characterized as the solution of a weighted minimum Euclidean norm problem. Finally several numerical experiments were performed in the field of rigid multibody dynamics supporting the theoretical claims.