What is best practice to solve least square problem AX = B

asked 2017-06-03 16:17:37 -0600

UsmanArif
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Hi, i have a system of linear equations AX = B where A is 76800x6, B is 76800x1 and we have to find X, which is 6x1. I was using X = invert(AT* A) AT* B where AT is transpose of A. But i want to increase the speed of operation and also it dose not protect my calculation under singularity conditions. Is there any faster way to do this.?

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answered 2017-06-03 22:22:10 -0600

Tetragramm

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There is a handy function for this, the solve function.

solve(A, b, x, DECOMP_SVD);

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X = invert(AT* A) AT* B is taking 4 min and 37 sec while solve is taking 8 min and 34 secs for a video on which i am working. Is there any thing more fast.?

UsmanArif ( 2017-06-04 00:12:11 -0600 )edit

SVD is the most stable version, with the ability to check singularity ect. Try DECOMP_NORMAL for speed.

Alternatively, may I suggest using a specialized matrix math library like Eigen? Then you can use whatever decomposition you need with whatever properties you desire. And it might very well be faster.