From: James Theiler <jt@lanl.gov>
To: Faheem Mitha <faheem@email.unc.edu>
Cc: Brian Gough <bjg@network-theory.co.uk>, <gsl-discuss@sources.redhat.com>
Subject: Re: calculating matrix inverses (was Re: modifying matrix allocationfunctions for use with R)
Date: Wed, 19 Dec 2001 13:20:00 -0000 [thread overview]
Message-ID: <Pine.LNX.4.33.0110101146240.977-100000@yks.lanl.gov> (raw)
In-Reply-To: <Pine.LNX.4.33.0110101334010.24042-100000@Chrestomanci>
On Wed, 10 Oct 2001, Faheem Mitha wrote:
]
]
] 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.
]
This is getting away from software and API design and into numerical
methods, but for this kind of thing, singular value decomposition is
probably a better tool. It's a little more expensive than LU, but you
have a lot more control over the stability of the estimated inverse.
jt
---------------------------------------------
James Theiler jt@lanl.gov
MS-D436, NIS-2, LANL tel: 505/665-5682
Los Alamos, NM 87545 fax: 505/665-4414
----- Space and Remote Sensing Sciences -----
next prev parent reply other threads:[~2001-12-19 13:20 UTC|newest]
Thread overview: 9+ messages / expand[flat|nested] mbox.gz Atom feed top
2001-12-19 13:20 modifying matrix allocation functions for use with R Faheem Mitha
2001-12-19 13:20 ` Brian Gough
2001-12-19 13:20 ` Faheem Mitha
2001-12-19 13:20 ` Brian Gough
2001-12-19 13:20 ` calculating matrix inverses (was Re: modifying matrix allocationfunctions for use with R) Faheem Mitha
2001-12-19 13:20 ` James Theiler [this message]
2001-12-19 13:20 ` Faheem Mitha
2001-12-19 13:20 ` modifying matrix allocation functions for use with R Timothy H. Keitt
2001-12-19 13:20 calculating matrix inverses (was Re: modifying matrix allocationfunctions for use with R) Edwin Robert Tisdale
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