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Problem with lscov for sparse input matrix with specified covariance vector

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Matthias Schabel
Matthias Schabel on 11 Apr 2020
I am using lscov to solve a system of multiple small linear least squares problems set up as a block diagonal sparse matrix as follows:
blks = cell([1 size(X,2)]);
for i=1:size(X,2)
blks{i} = sparse([ones(size(X(:,i))) X(:,i)]);
end
A = blkdiag(blks{:});
Y = Y(:);
wY = wY(:);
[p,u] = lscov(A,Y); % this works for both normal and sparse A
%[p,u] = lscov(A,Y,wY); % this works when A is passed as full(A), fails when A is sparse, giving zero values for p
Wondering if anyone has thoughts on this?
Thanks,
Matthias

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