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From Dimitri Pourbaix <>
Subject Re: [math] major problem with new released version 3.1
Date Sat, 29 Dec 2012 09:22:20 GMT

> Handling weighted observations must take correlations into account, i.e. use
> a _matrix_.
> There is the _practical_ problem of memory. Solving it correctly is by
> using a sparse implementation (and this is actually an implementation
> _detail_).

The problem is where something becomes a detail!  You are right that the
general least square problem copes with a matrix of weights ... but the
way it is implemented is a detail.  As already pointed out, even the
vector of weights API allows for a complicated matrix of weights.  The user
premultiplies by the 'square root' of that matrix and sets all the compo-
nents of the weight vector to 1.  So, your enthusiasm to generalise the
vector of weights to a matrix was a detail to make the life of very few
users easier ... without adding any functionality.

There are so many different configurations (e.g. block diagonal, ...), I
doubt you can handle all of them in the most efficient way so it is likely
preferable to have the user taking care of them.

It is however true that simple weights (i.e. vector form) are a very usual
situation ... which is also very common in fitting tools.  So, I think CM
should offer that approach as well.

In conclusion: the old CM 3.0 API was enough! :)

Dimitri Pourbaix                         *      Don't worry, be happy
Institut d'Astronomie et d'Astrophysique *         and CARPE DIEM.
CP 226, office 2.N4.211, building NO     *
Universite Libre de Bruxelles            *      Tel : +32-2-650.35.71
Boulevard du Triomphe                    *      Fax : +32-2-650.42.26
  B-1050 Bruxelles                        *        NAC: HBZSC RG2Z6     *

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