Thanks Christoph,
that is exactly what I needed ;-)
Optimization hint (not sure):
In WeightedRegression the lines like
can be rewritten to
Also DiagonalMatrixStorage shouldn't be used at the moment, as they are not optimized and therefor slow.
that is exactly what I needed ;-)
Optimization hint (not sure):
In WeightedRegression the lines like
return x.TransposeThisAndMultiply(w*x).Cholesky().Solve(x.Transpose()*(w*y));return x.TransposeThisAndMultiply(w*x).Cholesky().Solve(x.TransposeThisAndMultiply(w*y));