arokem/statistical_learning — Issue #2: QR factorization in addition to SVD
Author: arokem
Created: 2012-01-25 17:54:57+00:00
State: open

SVD is good, but the somewhat simpler QR factorisation is often employed to solve least squares. The act of forming the product A^T A can be detrimental (and squares the condition number), as shown in this neat write-up by Cleve Moler:

www.mathworks.com/moler/leastsquares.pdf

Might be worth integrating some of that.