topic >>...since I know that I am in Intel® oneAPI Math Kernel Library

efficiently solving least squares problems iteratively

tracyx — Fri, 24 May 2013 14:07:19 GMT

I'm performing an iterative routine, where at each iteration I am solving a least squares problem using ?gels. At each iteration step I update a column of the matrix A, which will ulitmately converge, as will the solution vector b.

My question is this: Because at each iteration the solution vector b is changing only very little, is it possible to solve this more efficiently than repeatedly calling ?gels (perhaps by calling some of the routines that ?gels itself calls), since I know that I am often very close to the solution?

Thank you,

Tracy

Search the Web for "QR-update

mecej4 — Fri, 24 May 2013 14:24:53 GMT

Search the Web for "QR-update" and see if there is something there that you can put to use in your application.

>>...since I know that I am

SergeyKostrov — Tue, 28 May 2013 04:44:10 GMT

>>...since I know that I am often very close to the solution... Could you provide more information on that?