Fast Symmetric Matrix Inverse (Scripts) Publisher's description
from Eric Blake
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