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updated 1 month 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)


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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)


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updated almost 2 years ago

Matrix Decomposition by Aleksander

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


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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)


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