calculating matrix inverses (was Re: modifying matrix allocationfunctions for use with R)

[Faheem Mitha]

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.