Generalized Linear Least Squares Problems

[venkat]

Hi,

I want to solve linear least sqaure problem( min||c-Ax||2 subject to
Bx=d ). How do I do it in python. lapack has a routine for doing this
(DGGLSE). Can I access this from python?

TIA,
venkat.

 

[Tim Leslie]

Hi,

I want to solve linear least sqaure problem( min||c-Ax||2 subject to
Bx=d ). How do I do it in python. lapack has a routine for doing this
(DGGLSE). Can I access this from python?

Check out scipy, in particular the linear algebra package.

http://www.scipy.org/documentation/apidocs/scipy/scipy.linalg.html

Cheers,

Tim

 

[Colin J. Williams]

Check out scipy, in particular the linear algebra package.

http://www.scipy.org/documentation/apidocs/scipy/scipy.linalg.html

Cheers,

Tim

Or you could try numarray, available for use with Python 2.4

http://sourceforge.net/project/showfiles.php?group_id=1369&package_id=32367&release_id=329948

Colin W.

 

[Robert Kern]

Or you could try numarray, available for use with Python 2.4

Neither of these solve the generalized least squares problem.

However, it is easier to add to scipy.linalg. Look at the file
scipy/Lib/linalg/generic_flapack.py and copy and modify the block for
DGELSS to work for DGGLSE. Then modify the Python function
scipy.linalg.lstsq to take the optional extra arguments and do the
generalized problem. Finally, contribute your changes back to scipy and
win the accolades you deserve.

--
Robert Kern
(e-mail address removed)

"In the fields of hell where the grass grows high
Are the graves of dreams allowed to die."
-- Richard Harter