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updated 5 months ago

Fast Symmetric Positive Definite Matrix Inverse by Eric Blake

Uses LAPACK, Cholesky to invert real, positive definite, symmetric matrix. Faster than inv. (cholesky decompositio..., covariance matrix, kalman filter)

run_to_compile_and_test.m

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updated 1 year ago

Matrix Inversion using Cholesky Decomposition by Aravindh Krishnamoorthy

Finds the inverse of the matrix X, given its (lower triangular) Cholesky Decomposition. (cholesky decompositio..., inversion)

inv_chol(L)

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updated 1 year ago

Matrix Decomposition by Aleksander

Positive definite correlation matrix based on spectral decomposition. Now both for .m, C and Mex (cholesky, decomposition, correlation matrix)

SpectralDP(Correlation)

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updated 3 years ago

Efficient Cholesky Decomposition of Symmetric Banded Matrix by Michael Akinwumi

Solves a linear system of equations where the coefficient matrix is symmetric and banded using. (cholesky decompositio..., symmetric banded matr..., banded matrix)

[L,C,B,x]=SymmetricBandedCholesky(A,q)

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