The Sherman Morrison Iteration

Abstract

The Sherman Morrison iteration method is developed to solve regularized least squares problems. Notions of pivoting and splitting are deliberated on to make the method more robust. The Sherman Morrison iteration method is shown to be effective when dealing with an extremely underdetermined least squares problem. The performance of the Sherman Morrison iteration is compared to classic direct methods, as well as iterative methods, in a number of experiments. Specific Matlab implementation of the Sherman Morrison iteration is discussed, with Matlab codes for the method available in the appendix.