Intel® oneAPI Math Kernel Library
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efficiently solving least squares problems iteratively

tracyx
New Contributor I
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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

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2 Replies
mecej4
Black Belt
116 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
116 Views
>>...since I know that I am often very close to the solution... Could you provide more information on that?
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