How to use least squares with weight matrix?

Question

I know how to solve A.X = B by least squares using Python:

Example:

A=[[1,1,1,1],[1,1,1,1],[1,1,1,1],[1,1,1,1],[1,1,0,0]]
B=[1,1,1,1,1]
X=numpy.linalg.ls         


        

Answer 1

I don't know how you have defined your weights, but you could try this if appropriate:

import numpy as np
A=np.array([[1,1,1,1],[1,1,1,1],[1,1,1,1],[1,1,1,1],[1,1,0,0]])
B = np.array([1,1,1,1,1])
W = np.array([1,2,3,4,5])
Aw = A * np.sqrt(W[:,np.newaxis])
Bw = B * np.sqrt(W)
X = np.linalg.lstsq(Aw, Bw)