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| lrbuild linear regression http://forum.alglib.net/viewtopic.php?f=2&t=282 |
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| Author: | jysung100 [ Mon Jan 24, 2011 9:56 pm ] |
| Post subject: | lrbuild linear regression |
I have two questions. 1) It saids I have to have at least (number of independent variable + 1) sets in order to run linear regression. Is it due to implementation? Or, is it how normally linear regression works? When I have less data set than number of variables, is there way to run it? 2) I am running it with c++ in 32bit ubuntu 10.10, what's the size limit of real_2d_array ? My work involves having up to 500,000 independent variable. Would it be able to handle it? Thanks |
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| Author: | Sergey.Bochkanov [ Tue Jan 25, 2011 7:24 am ] |
| Post subject: | Re: lrbuild linear regression |
jysung100 wrote: 1) It saids I have to have at least (number of independent variable + 1) sets in order to run linear regression. Is it due to implementation? Or, is it how normally linear regression works? When I have less data set than number of variables, is there way to run it? It is artificial restriction because: a) fast cross-validation algorithm, which is called by linread, can't be used when npoints<nvars+1, and b) regression quality decreases when you have more variables than points. It is hard to remove from ALGLIB at that point, because assumption than npoints>=nvars+1 is widely used across linreg package. jysung100 wrote: 2) I am running it with c++ in 32bit ubuntu 10.10, what's the size limit of real_2d_array ? My work involves having up to 500,000 independent variable. Would it be able to handle it? ALGLIB can work with arrays up to 2GB on 32-bit systems. Array size on 64-bit systems is unlimited. But you should keep in mind that: a) ALGLIB allocates temporaries - for example, it can allocate a copy of your array to avoid modification of values being passed. So I don't think that it will work on 32-bit system with input data whose size is larger than some fraction of 2GB (say, 0.5GB). b) linreg allocates array whose size is nvars*nvars. So you can't use it with nvars larger than, say, 5000. BTW, how many points you have? |
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