[Numpy-discussion] svd error checking vs. speed

[Sturla Molden]

<josef.pktd at gmail.com> wrote:
 maybe -1
> 
> statsmodels is using np.linalg.pinv which uses svd
> I never ran heard of any crash (*), and the only time I compared with
> scipy I didn't like the slowdown.

If you did care about speed in least-sqares fitting you would not call QR
or SVD directly, but use the builting LAPACK least-squares drivers (*GELSS,
*GELS, *GGGLM), which are much faster (I have checked), as well as use an
optimized multi-core efficient LAPACK (e.g. Intel MKL). Any overhead from
finiteness checking will be tiny compared to the Python/NumPy overhead your
statsmodels code incurs, not to mention the overhead you get from using f2c
lapack_lite.

Sturla