From: Przemyslaw Sliwa <sliwa@euv-frankfurt-o.de>
To: gsl-discuss@sources.redhat.com
Subject: Determinant of a matrix
Date: Tue, 22 Oct 2002 03:12:00 -0000 [thread overview]
Message-ID: <3DB521DE.2020006@euv-frankfurt-o.de> (raw)
Hello,
The determinant of a symmetric positive definite matrix is just the
product of the squares of the diagonal elements form the cholesky
decomposition (NAG documentation). So why I'm getting different
results form gsl_LU decomposition and the cholesky decomposition
of a 10*10 Hilbert matrix (elemenst i,j given by 1/(i+j-1)).
The results are not very big, but still they exist (determinant about
0.5E+13 and
the difference 6.0E+1). Is it a bug, or the LU decomposition is unstable.
What should be suggested: determinant of a covariance matrix: its
Cholesky form or computation from LU decomposition.
Thanks for help
Przem
next reply other threads:[~2002-10-22 10:02 UTC|newest]
Thread overview: 5+ messages / expand[flat|nested] mbox.gz Atom feed top
2002-10-22 3:12 Przemyslaw Sliwa [this message]
2002-10-22 7:20 ` Gert Van den Eynde
-- strict thread matches above, loose matches on Subject: below --
2002-07-23 10:03 Przemyslaw Sliwa
2002-07-23 10:35 ` Alan Aspuru-Guzik
2002-07-23 10:44 ` Dan, Ho-Jin
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