Separate headings for D and A lines:
from matplotlib.pyplot import *
ds = [1,2,3]
dc = [1.1, 1.9, 3.2]
asim = [1.5, 2.2, 3.1]
ac = [1.6, 2.15, 3.1]
categories = ['simulated', 'calculated']
p1, = plot(ds, 'ko', label="D simulated")
p2, = plot(dc, 'k:', label="D calculated")
p3, = plot(asim, 'b+', label="A simulated")
p4, = plot(ac, 'b-', label="A calculated")
p5, = plot([0], marker="None",
linestyle="None", label="dummy-tophead")
p7, = plot([0], marker="None",
linestyle="None", label="dummy-empty")
leg3 = legend([p5, p1, p2, p5, p3, p4],
[r'$D_{etc}$'] + categories + [r'$A_{etc}$'] + categories,
loc=2, ncol=2) # Two columns, vertical group labels
leg4 = legend([p5, p7, p5, p7, p1, p2, p3, p4],
[r'$D_{etc}$', '', r'$A_{etc}$', ''] + categories + categories,
loc=4, ncol=2) # Two columns, horizontal group labels
gca().add_artist(leg3)
#If there isn't a big empty spot on the plot, two legends:
#leg1 = legend([p1, p2], categories, title="D_etc", loc=0)
#leg2 = legend([p3, p4], categories, title="A_etc", loc=4)
#gca().add_artist(leg2)
show()
