Hi Curt,

On Saturday 17 October 2009 01:20:19 Curtis Olson wrote:
> I'm having a "duh" moment here ... I've googled and looked through my old
> college text books and can't find something that I think should be easy to
> find.  I'm probably forgetting the proper name of the technique or
>  something stupid.
> 
> The basic formulas for least squares fitting of a line to a set of data are
> well know.  (I'm referring to the  standard linear least squares fit of a
> line to some data.)
> 
> I know I've seen a derivation of these formulas that allow you to
> incrementally build your least squares solution as each data point comes in
> (based on the current data and the past solution.)  I know I've seen this
> several places in my life, even recently.  I'd rather not spend a week
> re-deriving the formulas from scratch and testing and debugging.
> 
> Does anyone have a link or pointer to basic code or psuedo-code that
> implements this incremental (recursive?) least squares approach?

As always, tell the exact problem.

Depending on your problem and requirements the solution ranges from a few 
lines of code to - 'better use an implementation that already exists is tested 
and is numerically stable'.

Greetings

Mathias

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