Python Data Analysis Cookbook

Using arbitrary precision for linear algebra

A lot of models can be reduced to systems of linear equations, which are the domain of linear algebra. The mpmath library mentioned in the Using arbitrary precision for optimization recipe can do arbitrary precision linear algebra too.

Theoretically, we can approximate any differentiable function as a polynomial series. To find the coefficients of the polynomial, we can define a system of linear equations, basically taking powers of a data vector (vector as mathematical term) and using a vector of ones to represent the constant in the polynomial. We will solve such a system with the mpmath lu_solve() function. As example data, we will use wind speed data grouped by the day of year.

Getting ready

For the ...