Re: Inverse of Cholesky decomposition

[dbateman]

Søren Hauberg wrote:
> 
> ons, 15 07 2009 kl. 15:16 +0100, skrev Leo Butler:
>> On Wed, 15 Jul 2009, Søren Hauberg wrote:
>> < I have a matrix 'A', and I would like to compute the inverse of the
>> < Cholesky decomposition, i.e., I would like to do the following
>> < 
>> <         function retval = inv_of_chol (A)
>> <           R = chol (A);
>> <           retval = inv (R);
>> <         endfunction
>> < 
>> < Is there some direct way of doing this, or do I have to take the two
>> < steps in the above code to do this?
>>  
>> See cholinv.
> 
> This seems to compute the inverse of 'A' whereas I need the inverse of
> 'R' (using the terminology of my first mail).
> 
> Søren
> 
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> 

Look in dMatrix.cc in the method 

Matrix Matrix::inverse (MatrixType &, octave_idx_type&, double&, int, int)
const

where you'll find the code

if (typ == MatrixType::Upper || typ == MatrixType::Lower)
     ret = tinverse (mattype, info, rcon, force, calc_cond);

I remember a while back special casing triangular matrix inversions. So the
code as you wrote should be about as fast as you can get

D.


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