[SciPy-Dev] least squares solvers

Robert Kern robert.kern@gmail....
Fri Jan 27 04:12:54 CST 2012

On Fri, Jan 27, 2012 at 09:58, Sturla Molden <sturla@molden.no> wrote:
> On 27.01.2012 10:47, Sturla Molden wrote:
>> Why is the non-linear LS solver in sp.optimize called leastsq, whereas
>> the linear solver in sp.linalg is called lstsq? Wouldn't a consistent
>> name be better?
> Also I think the docstring for sp.optimize.leastsq should refer to the
> linear solver, because I have seen multiple examples of people using
> sp.optimize.leastsq to solve linear systems.

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>> sp.linalg.lstsq uses SVD, by lapack driver *gelss. If we don't need
>> singular values, solving by QR is faster (lapack driver *gels).
>> (I actually use Fortran just to get DGELS instead of DGELSS.)
> Another thing is that the terminology here could be confusing. The
> docstring for lstsq uses the naming convention from linear algebra, i.e.
> sp.linalg.lstsq(a, b) will minimize 2-norm |b - Ax|.
> Those needing it for statistics (multiple regression) might not relize
> that b corresponds to y, A to X, and x to b. So fitting y = X * b by
> least squares is sp.linalg.lstsq(X, y). I think the docstring should be
> more explicit on this.


Robert Kern

"I have come to believe that the whole world is an enigma, a harmless
enigma that is made terrible by our own mad attempt to interpret it as
though it had an underlying truth."
  -- Umberto Eco

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