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
Thomas Lumley Assoc. Professor, Biostatistics
[email protected] University of Washington, Seattle
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