matlisp-users

[Matlisp-users] Cholesky factorization

[rif <ri...@MI...>]

Nearly all the matrices I work with are positive semidefinite.  Does
Matlisp have a Cholesky factorization routine?

Also, what is the best way to solve a bunch of problems of the form Ax
= b, where A is positive semidefinite and the b's are not known ahead
of time?  In Octave, I would say:

R = chol(A);

and, once I obtained a b, I would solve via:

t = R'\b;
x = R\t;

What is the Matlisp equivalent to this approach?

Cheers,

rif

Re: [Matlisp-users] Cholesky factorization

[Raymond T. <to...@rt...>]

>>>>> "rif" == rif  <ri...@MI...> writes:

    rif> Nearly all the matrices I work with are positive semidefinite.  Does
    rif> Matlisp have a Cholesky factorization routine?

Yes and no.  LAPACK has one, I think.  Matlisp doesn't because no one
has written the FFI for it.

    rif> Also, what is the best way to solve a bunch of problems of the form Ax
    rif> = b, where A is positive semidefinite and the b's are not known ahead
    rif> of time?  In Octave, I would say:

    rif> R = chol(A);

    rif> and, once I obtained a b, I would solve via:

    rif> t = R'\b;
    rif> x = R\t;

    rif> What is the Matlisp equivalent to this approach?

If R\t means R^(-1)*t, the (m/ t r) will do that.  However, I think
that's probably rather expensive because it probably will use Gaussian
elimination to solve this set of equations.  Some other special
routine from LAPACK should probably be used.

Will have to dig through LAPACK....

Ray