Systems Optimization Laboratory
Stanford, CA 943054121 USA

LSQR: Sparse Equations and Least Squares
 AUTHORS:
Chris Paige,
Michael Saunders.
 CONTRIBUTORS: James Howse, Michael Friedlander,
John Tomlin, Miha Grcar, Jeffery Kline,
Dominique Orban,
Austin Benson, Victor Minden.
 CONTENTS: Implementation of a conjugategradient type method
for solving sparse linear equations and
sparse leastsquares problems:
\begin{align*}
\text{Solve } & Ax=b
\\ \text{or minimize } & \Axb\^2
\\ \text{or minimize } & \Axb\^2 + \lambda^2 \x\^2,
\end{align*}
where the matrix \(A\) may be square or rectangular
(overdetermined or underdetermined), and may have any rank.
It is represented by a routine for computing \(Av\) and \(A^T u\)
for given vectors \(v\) and \(u\).
The scalar \(\lambda\) is a damping parameter.
If \(\lambda > 0\), the solution is "regularized" in the sense that
a unique solution always exists, and \(\x\\) is bounded.
The method is based on the GolubKahan bidiagonalization
process. It is algebraically equivalent to applying CG
to the normal equation
\(
(A^T A + \lambda^2 I) x = A^T b,
\)
but has better numerical properties, especially if
\(A\) is illconditioned.
NOTE: LSQR reduces \(\r\\) monotonically
(where \(r = b  Ax\) if \(\lambda=0\)). This is desirable
on compatible systems \(Ax=b\).
On leastsquares problems, if an approximate
solution is acceptable (stopping tolerances quite large),
LSMR may be a preferable solver
because it reduces both \(\r\\) and \(\A^T r\\) monotonically
and may be able to terminate significantly earlier.
If \(A\) is symmetric, use
SYMMLQ,
MINRES,
or MINRESQLP.
If \(A\) has low column rank
and \(\lambda=0\), the solution is not unique.
LSQR returns the solution of minimum length.
Thus for underdetermined systems, it solves the problem
\(\min \x\ \text{ subject to } Ax=b\).
More generally, it solves the problem
\(\min \x\ \text{ subject to } A^T Ax=A^T b\),
where \(A\) may have any shape or rank.
For \(\min \x\ \text{ subject to } Ax=b\),
consider using CRAIG.
 REFERENCES:
C. C. Paige and M. A. Saunders,
LSQR: An algorithm for sparse linear equations and sparse least squares,
TOMS 8(1), 4371 (1982).
C. C. Paige and M. A. Saunders,
Algorithm 583; LSQR: Sparse linear equations and leastsquares problems,
TOMS 8(2), 195209 (1982).
 RELEASE:
f77 and Matlab files are well tested.
C, C++ versions are Beta.
Windows DLL and .NET (C#) versions are Beta.
26 Oct 2012: f90 test program updated.
05 Aug 2013: Complex f90 version added.
DOWNLOADS:
 Fortran 77 files
 Matlab files
24 Dec 2010: Function handles supported.
04 Sep 2011: Documentation slightly updated.
 C files 1:
Contributed Sep 1999 by James Howse (jhowse@lanl.gov), LANL.
An elaborate implementation with memory management.
 C files 2:
Contributed Aug 2007 by
Michael Friedlander, UBC.
A more direct linebyline translation from f77.
 Fortran 90 files (for real \(A\)):
Secondgeneration f90 implementation.
Separate modules are used for LSQR, Check routines, and
example Test problems.
Contributed Sep 2007 by Michael Saunders (saunders@stanford.edu).
Revised 24 Oct 2007, 19 Dec 2008, 26 Oct 2012.
 Fortran 90 files (for real or complex \(A\)):
Complex implementation contributed by
Austin Benson (arbenson@stanford.edu)
and Victor Minden (victorminden@gmail.com),
ICME, Stanford University. Includes real implementation.
 C++ files:
Contributed Oct 2007 by John Tomlin (tomlin@yahooinc.com),
Yahoo! Research.
C++ translation of C files in lsqr/c/clsqr1.zip.
 Windows DLL and .NET files:
Contributed Oct 2007 by Miha Grcar (miha.grcar@ijs.si),
Jozef Stefan Institute.
Windows DLL and .NET (C#) wrappers for LSQR based on the C++ version of LSQR.
 Nov 2009: Python files contributed by Jeffery Kline.
 Python files:
Contributed by Dominique Orban
(dominique.orban@gerad.ca).
