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Large control loops

• To: mathgroup at smc.vnet.net
• Subject: [mg122285] Large control loops
• From: Arthur <shukrri at gmail.com>
• Date: Sun, 23 Oct 2011 06:25:17 -0400 (EDT)
• Delivered-to: l-mathgroup@mail-archive0.wolfram.com

Hi guys,

I am trying to do the following (simplified somewhat)

Create matrix A (250x2500 or so)
Run 2500 regressions (each column vs. a common vector) and collect
residuals
Use the residuals to estimate the parameters to 2500 stochastic
processes
Create a list with the top 20 said parameters
Multiply the result by matrix A
Collect results

I can do all of this once, but I need to do all of it approximately
1000 times with slightly different initial matrices. What do you
suggest the best way to go about it would be? If possible I would like
to not have to resort to a secondary language (C/C++, etc.)