Intel® oneAPI Math Kernel Library
Ask questions and share information with other developers who use Intel® Math Kernel Library.
Announcements
This community is designed for sharing of public information. Please do not share Intel or third-party confidential information here.
6589 Discussions

efficiently solving least squares problems iteratively

tracyx
New Contributor I
130 Views

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

0 Kudos
2 Replies
mecej4
Black Belt
130 Views

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

SergeyKostrov
Valued Contributor II
130 Views
>>...since I know that I am often very close to the solution... Could you provide more information on that?
Reply