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hareson

Beginner

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01-04-2011
03:11 AM

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Least squares weighted fit using the MKL

I have been using MKL for a bit now, and I would like to improve the speed for a weighted linear fit. The fitting function is a simple

y = a * x + b

The input is a vector

The calculation I would like to do is the minimization of the following:

minimize WSS = w_i * ( y_i - ( a * x_i + b ))

One way of doing it would be to create the full vandermonde matrix, and then solve the system using the inverse etc, but is there a better way of doing it?

Also, I am solving it a number of times, where the length of the fit is changing based on the data, so I need to create a new matrix each time.

There are a few threads discussing linear regression, but I can't figure them out exactly.

All help is appreciated.

Best regards

Henrik Andresen

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mecej4

Black Belt

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01-04-2011
04:55 AM

136 Views

If you want to avoid the square roots, you can modify an existing source code for uniform weight QR.

hareson

Beginner

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01-04-2011
05:00 AM

136 Views

Thank you for your answer.

In case I have weight values close to zero, won't this transformation make my fit unstable?

Best regards

mecej4

Black Belt

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01-04-2011
07:44 AM

136 Views

For more complete information about compiler optimizations, see our Optimization Notice.