Inversion using Cholesky Decomposition
- To: mathgroup at smc.vnet.net
- Subject: [mg46587] Inversion using Cholesky Decomposition
- From: "Johannes Ludsteck" <johannes.ludsteck at wiwi.uni-regensburg.de>
- Date: Tue, 24 Feb 2004 21:04:41 -0500 (EST)
- Organization: Universitaet Regensburg
- Sender: owner-wri-mathgroup at wolfram.com
Dear MathGroup Members,
I have to invert large (sparse) positive definite
symmetric matrices. The fastest way to perform
these inversions would be to use the Cholesky
decomposition. I read in the documentation for
"A Method option can also be given. Possible
settings are as for LinearSolve."
However, when I tried to give the option
Mathematica answers with an error message.
It is, of course, possible to perform the inversion
by hand, i.e. to obtain the CholeskyDecomposition
of the matrix and to compute the inverse by forward
or backward substitution. This is, however, slower
than calling Inverse directly because the
substitution does not allow to exploit the highly
efficient internal Mathematica code.
 Is there any way to provide the Cholesky option
 Or checks Mathematica automatically whether the
cholesky decomposition is applicable?
Thanks for help,
Institut fuer Volkswirtschaftslehre
Lehrstuhl Prof. Dr. Moeller
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