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least squares solution


From: John W. Eaton
Subject: least squares solution
Date: Thu, 2 Oct 2003 22:58:33 -0500

On  1-Oct-2003, Finnigan&Klaembt <address@hidden> wrote:

| Hello, First of all Octave is great software. 
| 
| I'm running a modal parameter curve fitting function in Octave and I'm having 
| problems running out of memory. Also the calculation is taking around 90 
seconds 
| on my machine. The following is part of my function that seems to be the 
| problem. it builds the matrices for the least squares solution. 
| 
| My questions are:
| 1) Has any one an idea how to further optimise this code?
| 2) if the same code were an application written in "c" would it run faster?

Probably not much faster, because it seems that most of the time is
spent performing the last calculation:

  SOL = SOLROW \ WCUM;

in which SOLROW is an 11520x430 matrix.  In Octave, this operation is
performed by Lapack, so it is already compiled code.  If your version
of Octave is linked with ATLAS, then this operation is probably
already highly optimized.  If you want it to go faster, maybe a
different algorithm is needed?  The \ operator computes minimum norm
solutions using dgelss which I think uses an SVD-based method.  Maybe
something else would be faster?

jwe



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