forum.alglib.nethttp://forum.alglib.net/ Multivariate regression w/ lsfitcreatef/lsfitfit not workinghttp://forum.alglib.net/viewtopic.php?f=2&t=2240 Page 1 of 1

 Author: selulven [ Fri Feb 13, 2015 8:34 pm ] Post subject: Multivariate regression w/ lsfitcreatef/lsfitfit not working I'm trying to use alglib.lsfitcreatef to do a multivariate regression over 15 parameters and 385 samples.My code is this: double epsf = 0; double epsx = 1; int maxits = 0; int info; alglib.lsfitstate state; alglib.lsfitreport rep; double diffstep = 0.0001; double[] solution = new double[15]; for (int i = 0; i < 15; i++) solution[i] = 1; alglib.lsfitcreatef(independent_vars, dependent_vars, solution, dependent_vars.Length, solution.Length, solution.Length, diffstep, out state); alglib.lsfitsetcond(state, epsf, epsx, maxits); alglib.lsfitfit(state, Function, null, null); alglib.lsfitresults(state, out info, out solution, out rep);In this case, N = 385, M = 15 and K = 15. As you can see, I'm creating an initial solution of 1 for each parameter, and then I use lsfitcreatef and lsfitfit to solve the linear regression. However, the output solution is always the same as the initial -- every parameter is 1.If I set K = 1, with everything else unchanged, I get a proper solution for the first parameter -- 9194173.1672351. If I set K = 2, I get 1 for both parameters.Am I doing something wrong?Thanks.

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