LU Preconditioning for Overdetermined Sparse Least Squares Problems

International audienceWe investigate how to use an LU factorization with the classical LSQR routine for solving overdetermined sparse least squares problems. Usually L is much better conditioned than A and iterating with L instead of A results in faster convergence. When a runtime test indicates that L is not sufficiently well-conditioned, a partial orthogonalization of L accelerates the convergence. Numerical experiments illustrate the good behavior of our algorithm in terms of storage and convergence