ASA007
Inverse of a Symmetric Positive Definite Matrix

ASA007 is a MATLAB program which computes the inverse of a symmetric positive definite matrix, by Michael Healy.

ASA007 is Applied Statistics Algorithm 7. Source code for many Applied Statistics Algorithms is available through STATLIB.

The algorithm implemented here uses a compressed storage for both the matrix A and the factor U. This saves some storage, but can make computations a little awkward.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

ASA007 is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version

Related Data and Programs:

ASA006, a MATLAB library which computes the Cholesky factorization of a symmetric positive definite matrix. A version of this routine is used by ASA007.

asa007_test

ASA047, a MATLAB library which implements the Nelder-Mead minimization algorithm, and uses a version of ASA007 for the computation.

LAPACK_EXAMPLES, a FORTRAN90 library which includes routines to compute the inverse of symmetric positive matrix.

LINPACK, a MATLAB library which includes routines to compute the inverse of symmetric positive matrix.

Author:

Michael Healy

Reference:

1. Michael Healy,
   Algorithm AS 7: Inversion of a Positive Semi-Definite Symmetric Matrix,
   Applied Statistics,
   Volume 17, Number 2, 1968, pages 198-199.

Source Code:

• cholesky.m computes the Cholesky factorization of a PDS matrix.
• syminv.m computes the inverse of a symmetric matrix.
• timestamp.m prints out the current YMDHMS date as a timestamp.