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

[Julian Winter]

Brian,

Thanks for your response.  Since I'm not a matrix algebra expert, can you
explain your solution a bit more, perhaps with an example?

Thanks,
Julian 

-----Original Message-----
From: Brian Gough [mailto:address@hidden 
Sent: Thursday, September 13, 2007 7:06 AM
To: Julian Winter
Cc: address@hidden
Subject: Re: [Help-gsl] Question about Multi-fit linear regression

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 --- http://www.network-theory.com/gsl/

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