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Re: [Help-gsl] Question about Multi-fit linear regression

From: Brian Gough
Subject: Re: [Help-gsl] Question about Multi-fit linear regression
Date: Thu, 13 Sep 2007 12:06:10 +0100
User-agent: Wanderlust/2.14.0 (Africa) Emacs/22.1 Mule/5.0 (SAKAKI)

At Mon, 10 Sep 2007 09:29:47 -0400,
Julian Winter wrote:
> I am currently using GSL to perform regression for forecasting,
> specifically, multi-variate linear regression.  I have tried using the
> gsl_multifit_linear function, and I am happy with its outputs, however,
> since it employs singular value decomposition (SVD), it has the limitation
> that M >= N.  Are there any other functions in GSL that can perform similar
> regression without limiting the number of columns that can be input?

There are no functions for doing underdetermined regression
specifically, but gsl_linalg_SV_decomp on the transpose of the matrix
gives all the information needed to compute the pseudo-inverse.

Brian Gough
(GSL Maintainer)

Network Theory Ltd,
Commercial support for GSL ---

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