[Numpy-discussion] svd error checking vs. speed
sturla.molden at gmail.com
Mon Feb 17 13:41:29 EST 2014
Sturla Molden <sturla.molden at gmail.com> wrote:
> <josef.pktd at gmail.com> wrote:
> maybe -1
>> statsmodels is using np.linalg.pinv which uses svd
>> I never ran heard of any crash (*), and the only time I compared with
>> scipy I didn't like the slowdown.
> If you did care about speed in least-sqares fitting you would not call QR
> or SVD directly, but use the builting LAPACK least-squares drivers (*GELSS,
> *GELS, *GGGLM), which are much faster (I have checked), as well as use an
> optimized multi-core efficient LAPACK (e.g. Intel MKL). Any overhead from
> finiteness checking will be tiny compared to the Python/NumPy overhead your
> statsmodels code incurs, not to mention the overhead you get from using f2c
By the way: I am not saying you should call this methods. Keeping most of
the QR and SVD least-squares solvers in Python has its merits as well, e.g.
for clarity. But if you do, it defeats any argument that finiteness
checking before calling LAPACK will be too slow.
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