[R] iterative regressions, adding a new line of data each, time

[Thomas Lumley]

On Tue, 2 Feb 2010, Prof. John C Nash wrote:

> Possibly of limited use to the original poster, but of interest more 
> generally, there are a number of tools developed in the 70s for updating the 
> matrix decompositions. There's at least one in my 1979 book "Compact 
> numerical methods for computers" (still in print apparently) -- we didn't 
> have enough space to keep all the data in the HP9830A machine. If there's 
> sufficient interest, I can probably come up with some suitable references.

The biglm package does precisely this.   It uses an incremental QR decomposition, based on Fortran code by Alan Miller.

       -thomas


Thomas Lumley			Assoc. Professor, Biostatistics
tlumley at u.washington.edu	University of Washington, Seattle