Hi! I have used the Matrix package (Version: 0.995-10) successfully to obtain the OLS solution for a problem where the design matrix X is 44000x6000. X is very sparse (about 80000 non-zeros elements).
Now I want to do WLS: (X'WX)^-1X'Wy I tried W=Diagonal(length(w),w) and wX=solve(X,W) but after various minutes R gives a not enough memory error (Im using a 64bit machine with 16Gigs of RAM). I ended up doing this: wX=Matrix(as.matrix(X)*sqrt(w),sparse=TRUE) coefs1=as.vector(solve(crossprod(wX),crossprod(X,w*y))) which takes about 1-2 minutes, but it seems a better way, using the diagonal matrix, should exist. If there is I'd appreciate hearing it. If not, Im happy waiting 1-2 minute x #of iters. Thanks, Rafael ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
