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  • Last update: 5 years ago
  • Total downloads: 56
  • Operating system: Linux, Mac OS X, Win All, BSD, Solaris
  • Publisher: Eric Blake
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scripts default iconFast Symmetric Matrix Inverse (Scripts) Publisher's description

We can exploit the symmetry of a real, positive definite

We can exploit the symmetry of a real, positive definite, symmetric matrix by using the Cholesky decomposition to compute the inverse.

The built-in MATLAB inv function uses LU decomposition which requires extra pivots and operations. Rarely does one actually need to compute the inverse of a matrix (e.g. when solving a linear system), but for the rare cases when it is needed (e.g. least squares or Kalman Filtering), the inverse of a covariance matrix is required and we can exploit the symmetry.

System Requirements:

MATLAB 7.13 (2011b)
Program Release Status: New Release
Program Install Support: Install and Uninstall

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