As posted on StackOverflow: http://stackoverflow.com/questions/27128688/how-to-use-least-squares-with-weight-matrix-in-python

import numpy as np
# Solve for X in AX = B
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)[0]

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