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calculating matrix inverses (was Re: modifying matrix allocationfunctions for use with R)
- To: Brian Gough <bjg at network-theory dot co dot uk>
- Subject: calculating matrix inverses (was Re: modifying matrix allocationfunctions for use with R)
- From: Faheem Mitha <faheem at email dot unc dot edu>
- Date: Wed, 10 Oct 2001 13:40:19 -0400 (EDT)
- cc: <gsl-discuss at sources dot redhat dot com>
On Wed, 10 Oct 2001, Brian Gough wrote:
> Faheem Mitha writes:
> > Incidentally, it is a little awkward to compute the inverse of a matrix,
> > since this involves calling both int gsl_linalg_LU_decomp and int
> > gsl_linalg_LU_invert. Would it not be useful to have a "wrapper" function
> > which uses both together?
>
> Maybe, but in this case computing the inverse matrix is not something
> I want to encourage, as it's usually better to solve Ax=b instead.
This is an odd thing to say. I want to calculate the inverse of
(HH^t)^{-1} H, where H is a given matrix, as part of simulating from a
multivariate normal distribution (the given expression is the mean). How
does this correspond to solving a linear system? I assume you mean here
that A is a matrix and x and b are vectors? I seem to have no option in
this case but to use gsl_linalg_LU_decomp aned gsl_linalg_LU_invert. If
there are any other options I would appreciate being made aware of them.
Sincerely, Faheem Mitha.