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| Optimising lsfitlinear http://forum.alglib.net/viewtopic.php?f=2&t=811 |
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| Author: | andyste1 [ Tue Apr 09, 2013 2:06 pm ] |
| Post subject: | Optimising lsfitlinear |
This is a long shot, but I'm wondering if there is anything I can do to optimise/improve the performance of the "lsfitlinear" method? I'm developing a .Net application that runs many different calculations on thousands of data points. One of these calculations involves a call to "lsfitlinear", and a .Net profiler tool shows these calls as accounting for half of the overall time spent in my calculation routine. Typical usage scenario: my routine calls lsfitlinear around 5000 times, most times passing it just two values. The following is a typical example:- var fmatrix = new double[,] { { 1, 0 }, { 1, 5 } }; var y = new double[] { 2623.203, 7202.05 }; |
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| Author: | Sergey.Bochkanov [ Tue Apr 09, 2013 5:54 pm ] |
| Post subject: | Re: Optimising lsfitlinear |
Do you have guarantee that: * you always have 2 points, 2 unknowns? * fmatrix is non-degenerate and well conditioned? If so, you may just solve it as "conventional" linear system with 2 unknowns and 2 equations. lsfitlinear() is optimized for medium and large problems (10-100-1000 points, 10-100-1000 parameters). It works for such tiny systems, but it is overkill. |
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