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.)