[R] iterative regressions, adding a new line of data each, time
tlumley at u.washington.edu
Tue Feb 2 22:49:48 CET 2010
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 Lumley Assoc. Professor, Biostatistics
tlumley at u.washington.edu University of Washington, Seattle
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