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Date:         Tue, 26 Jan 2010 00:44:31 -0800
Reply-To:     wolfgang <cmat.wolfgang@GMAIL.COM>
Sender:       "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From:         wolfgang <cmat.wolfgang@GMAIL.COM>
Subject:      Re: Is Regression Using Proc IML Faster?
Comments: To:
Content-Type: text/plain; charset=ISO-8859-1

On Jan 26, 9:42 am, wolfgang <> wrote: > Hi, > I cannot believe that you could be faster using IML code than PROC > REG. > As was already said here, the main problem with IML is that you must > load the matrix into core. > [1] Now, PROC REG computes the X'X matrix by running observationswise > through the data set > and X must never be in code. That means PROC REG accumulates a lot of > error (the condition > of X'X is squared the condition of X) by computing X'X, but it should > be faster than IML when doing > the same in two steps, loading the matrix ad computing X'X. > [2] After X'X is computed, PROC REG is using sweep, which is of course > much slower than Cholesky. > Here, IML could be faster when Cholesky is used. However, using > Cholesky on a ill conditiones X'X > may get you in trouble. > [3] So, if X is ill conditioned, I would use either PROC ORTGOREG or > IML. > But if the condition of X is okay, I would use PROC REG. > > When computing benchmarks, the condition of X should be one factor. > Another factor would be the form of the matrix, i.e. is Nobs >> nvar > or is Nobs not > much larger than nvar. These are two very different situations. Also > running very many > small problems or just a few very large problems should be a factor > etc. > > Wolfgang

of cousrse I meant "in core" and not "in code"

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