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Re: chol2inv for Octave?
From: |
Mike Miller |
Subject: |
Re: chol2inv for Octave? |
Date: |
Fri, 6 May 2005 09:49:25 -0500 (CDT) |
On Fri, 6 May 2005, David Bateman wrote:
Octave has the "chol" function to calculate the cholesky factorization
of a symmetric positive definite matrix, however octave can't have use
of the fact that the factorization is triangular in its solve function
to just have to do a back substitution.
By Octave's "solve function" do you mean "inv" or "\"? If it's "\" -- can
that be used to obtain an inverse? In R, the "solve" function can have
one argument or two. It's like this:
R method Octave method
---------- ---------------
solve(A,b) A\b
solve(A) inv(A)
If we wish to have "inv" test the matrix type before computing the
inverse, I suggest that we have several "inv" functions (inv1, inv2, inv3,
etc. - with better names, I hope) so that the testing step can be skipped
when the matrix is of a known type. Maybe "invpds" would compute the
inverse of a positive definite symmetric matrix. I still think chol2inv
isn't a bad idea.
Here are some interesting tidbits:
Linpack:
http://docs.sun.com/app/docs/doc/802-6439/6ia4l8o3b?a=view
MATLAB:
http://www.mathworks.com/access/helpdesk/help/toolbox/dspblks/choleskyinverse.html
Thanks for the reply, Dave!
Mike
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