Own library - least squares

Question

I want to use the least squares problem using the Eigen library. My options: 2,

• sysAAA.jacobiSvd (Eigen :: ComputeThinU | Eigen :: ComputeThinV) .solve (sysBBB)
• sysAAA.colPivHouseholderQr (). solve (sysBBB);

I used the first one at the beginning, but it turned out to be very slow (1) (2).

So, I moved on to the second solution (other methods are not suitable for my case, because they require special matrices (2))

Does the colPivHouseholderQr () solution solve the least squares solution?

My impression is that this is not (3), but I want to be sure before looking for a “workaround”.

• http://forum.kde.org/viewtopic.php?f=74&t=102088
• http://eigen.tuxfamily.org/dox/TopicLinearAlgebraDecompositions.html
• http://eigen.tuxfamily.org/dox/TutorialLinearAlgebra.html#TutorialLinAlgLeastsquares

Answer 1

Yes, ColPivHouseholderQr :: solve () computes a least-square solution.