From: Emmanuel Benazera <ebenazer@email.arc.nasa.gov>
To: Brian Gough <bjg@network-theory.co.uk>
Cc: Emmanuel Benazera <ebenazer@email.arc.nasa.gov>,
gsl-discuss@sources.redhat.com
Subject: Re: multivariate gaussian distribution (Code)
Date: Mon, 29 Dec 2003 16:47:00 -0000 [thread overview]
Message-ID: <20031229161748.GA5259@wow.arc.nasa.gov> (raw)
In-Reply-To: <16368.4822.391415.710874@debian.local>
Hi Brian,
I remember reading that the matrix decomposition through
eigensystems was more 'stable', while Cholesky was
probably faster. See the implementation in R:
http://rweb.stat.umn.edu/R/library/MASS/html/mvrnorm.html
I used the LU for determinant and matrix inverse only.
I'm not an expert in this field though...
Emmanuel
P.S.: in my opinion the multivariate_gaussian_pdf_LU is rather
useless, because for repeated calls, you want the inverse
to be computed once and for all.
On Mon, Dec 29, 2003 at 11:41:10AM +0000, Brian Gough wrote:
> Emmanuel Benazera writes:
> > Hi,
> >
> > here is a tarball. Hope it helps.
> >
>
> Is there any advantage of LU over Cholesky decomposition?
>
> --
> Brian Gough
>
> Network Theory Ltd
> 15 Royal Park
> Bristol BS8 3AL
> United Kingdom
>
> Tel: +44 (0)117 3179309
> Fax: +44 (0)117 9048108
> Web: http://www.network-theory.co.uk/
next prev parent reply other threads:[~2003-12-29 16:47 UTC|newest]
Thread overview: 13+ messages / expand[flat|nested] mbox.gz Atom feed top
2003-12-20 11:10 multivariate gaussian distribution Emmanuel Benazera
2003-12-22 14:21 ` Brian Gough
2003-12-28 10:29 ` multivariate gaussian distribution (Code) Emmanuel Benazera
2003-12-29 11:41 ` Brian Gough
2003-12-29 16:47 ` Emmanuel Benazera [this message]
2004-04-28 8:08 ` multivariate gaussian distribution (Code) / bugfix Emmanuel Benazera
2003-12-29 10:41 multivariate gaussian distribution (Code) Przemyslaw Sliwa
2003-12-29 11:52 Przemyslaw Sliwa
2003-12-29 17:54 Emmanuel Benazera
2003-12-29 23:02 Przemyslaw Sliwa
2003-12-30 9:47 Emmanuel Benazera
2003-12-30 10:55 ` Przemyslaw Sliwa
2003-12-30 11:31 ` Przemyslaw Sliwa
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