[SciPy-dev] code for incremental least squares

[josef.pktd@gmai...]

2010/2/16 Stéfan van der Walt <stefan@sun.ac.za>:
> Hi Nathan
>
> On 16 February 2010 22:18, Nathaniel Smith <njs@pobox.com> wrote:
>> I have a need for solving some very large least squares regression
>> problems -- but fortunately my model matrix can be generated
>> incrementally, so there are some tricks to do the important
>> calculations without actually loading the whole thing into memory. The
>> resulting code is rather general, and might be of wider interest, so I
>> thought I'd send a note here and see what people thought about
>> upstreaming it somehow...
>
> This sounds interesting!  Could you expand on the incremental
> generation of the model matrix, and how it is made general?

I have the same thought, Are you increasing by observation or by
explanatory variable?

For either case, I would be very interested to see this kind of
incremental least squares in statsmodels. If you are able to license
your parts as BSD, then I will look at it for sure.

We have some plans for this but not yet implemented.

Josef

>
> Thanks
> Stéfan
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