Is there a Java library for better linear regression? (E.g., iteratively reweighted least squares)

java math matrix matrix-multiplication linear-regression
user1062571 picture user1062571 · Dec 6, 2011 · Viewed 29.9k times · Source

I am struggling to find a way to perform better linear regression. I have been using the Moore-Penrose pseudoinverse and QR decomposition with JAMA library, but the results are not satisfactory. Would ojAlgo be useful? I have been hitting accuracy limits that I know should not be there. The algorithm should be capable of reducing the impact of an input variable to zero. Perhaps this takes the form of iteratively reweighted least squares, but I do not know that algorithm and cannot find a library for it. The output should be a weight matrix or vector such that matrix multiplication of the input matrix by the weight matrix will yield a prediction matrix. My input matrix will almost always have more rows than columns. Thank you for your help.

Answer

Dave picture Dave · Dec 6, 2011

I don't fully understand your question, but I've used Apache Commons Math to do linear regressions before.

Related questions

Performance of Java matrix math libraries?

We are computing something whose runtime is bound by matrix operations. (Some details below if interested.) This experience prompted the following question: Do folk have experience with the performance of Java libraries for matrix math (e.g., multiply, inverse, etc.)? …

Read More
Calculating matrix determinant

I am trying to calculate the determinant of a matrix (of any size), for self coding / interview practice. My first attempt is using recursion and that leads me to the following implementation: import java.util.Scanner.*; public class Determinant { double …

Read More
Math.random() explanation

This is a pretty simple Java (though probably applicable to all programming) question: Math.random() returns a number between zero and one. If I want to return an integer between zero and hundred, I would do: (int) Math.floor(Math.…

Read More