220.127.116.11.27 LSLS is a solver for estimating linear regression models in GAMS. It solves the normal equations (X'X)b=X'y to introduce numerical instability. It was originally developed by Erwin Kalvelagen is the original author [sic] and further information can be found in the solver manual or at the Amsterdam Optimization Modeling Group's web site.
Monday, December 8, 2008
LS advert in mccarl guide
This statement is not completely correct. I surely don't want to solve the normal equations to introduce numerical instability. Actually I don't form the normal equations at all (for good reasons). The algorithm is based on a stable QR decomposition (see section 5 of LS solver documentation). The code has been verified to solve some very numerically challenging problems. Some users have used LS to solve regression problems with hundreds of coefficients to estimate.