forum.alglib.net

I'm trying to use linear regression from alglib for VB .Net project in VS2010.

Dim LRData(Mins.Count - 1, Maxs.Count - 1) As Double

……………………………………

Dim Info = 0
Dim LM = New XAlglib.linearmodel()
Dim LR = New XAlglib.lrreport()
XAlglib.lrbuild(LRData, Maxs.Count, Mins.Count, Info, LM, LR)

But =>
System.IndexOutOfRangeException was unhandled
Message=Index was outside the bounds of the array.
Source=alglibnet2
StackTrace:
at alglib.linreg.lrbuilds(Double[,] xy, Double[] s, Int32 npoints, Int32 nvars, Int32& info, linearmodel lm, lrreport ar)
at alglib.linreg.lrbuild(Double[,] xy, Int32 npoints, Int32 nvars, Int32& info, linearmodel lm, lrreport ar)
at alglib.lrbuild(Double[,] xy, Int32 npoints, Int32 nvars, Int32& info, linearmodel& lm, lrreport& ar)


May be the problem is that LM and LR constructors didn't initialize array W in XAlglib.linearmodel and arrays C and CVDEFECTS in XAlglib.lrreport?
How to setup instances of linearmodel & lrreport before running the lrbuild?
Thank you in advance )

I think that you've passed incorrect sizes of input arguments. It should be XAlglib.lrbuild(LRData, Mins.Count, Maxs.Count, Info, LM, LR).

Thank you!
It turns out that correct version is

Dim LRData(Maxs.Count - 1, Mins.Count) As Double

……………………………………

Dim Info = 0
Dim LM = New XAlglib.linearmodel()
Dim LR = New XAlglib.lrreport()
XAlglib.lrbuild(LRData, Maxs.Count, Mins.Count, Info, LM, LR)

Now it works and as a result for NVars=6 in LM I've got an array of 11 Double like
[0]11.0
[1]5.0
[2]6.0
[3]4.0
[4]108.59
[5]-43.01
[6]84.94
[7]-6.26
[8]-80.95
[9]-40.54
[10]98769.4431
The last value is similar to A[N] in Y = A(0)*X[0] + ... + A(N-1)*X[N-1] + A(N).
The values from 108.59 to -40.54 can be A[0] to A[5].
But the meaning of 11,5,6,4 ?
Where I can read about "linear model in the ALGLIB format and its subroutines to work with the model"?

You should use LRUnpack() function to access model coefficients. Other coefficients you've mentioned are used for internal purposes only.

Thank you, it works)