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Re: OT: finding the weights used in weighted least squares regression


From: Kamaraju S Kusumanchi
Subject: Re: OT: finding the weights used in weighted least squares regression
Date: Wed, 27 Apr 2011 10:11:44 -0400
User-agent: KNode/4.4.7

Ben Abbott wrote:

> Ok. I see my mistake now. Essentially you want to solve for W where ...
> 
> diag (W) * (A * x - b) = c
> 
> But you don't know "c". However, you do know that "c" are the least square
> errors.
> 
> I don't see a direct solution. Would an iterative solution work?

Yes, an iteration solution is also fine.

> I don't know how stable it would be but, is something like below
> acceptable?
> 
> err = @(u) x - (diag (u) * A) \ (diag (u) * b);
> W = fsolve (err, ones (n, 1))
> 

This gives me an error

octave:11> err = @(u) x - (diag (u) * A) \ (diag (u) * b);
octave:12> W = fsolve (err, ones (n, 1))
error: fsolve: unable to solve non-square systems
error: fsolve: evaluation of user-supplied function failed
error: evaluating assignment expression near line 12, column 3


The documentation of fsolve (help fsolve), does not clearly tell how to 
specify the FCN argument. Could you please help me out with the error?

thanks
-- 
Kamaraju S Kusumanchi
http://malayamaarutham.blogspot.com/



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