Re: [ojAlgo-user] MatrixStore to BasicMatrix (or Cholesky factorization -> BasicMatrix)

[Chris L. <cg...@gm...>]

Thanks for the quick reply.

I'm porting some Gaussian process code I wrote a while back in matlab
where one gets performance savings by using Cholesky factorization
instead of direct matrix inversion.

The specific operations I'm using are described in Rasmussen &
William's Gaussian process book, listing 2.1 on page 19, which R&W
have made available online:
http://www.gaussianprocess.org/gpml/chapters/RW2.pdf

A large part of my rationale for porting to java is performance: the
broader inference process in which the GP code is embedded requires a
very large number of iterated operations on tiny matrices (as well as
a fair number with ~100x100 matrices) so I'm hopeful that java's
general-purpose speed advantages over matlab will trump the latter's
benefits in matrix operations.

Chris

On Mon, Jul 2, 2012 at 12:09 PM, Chris Lucas <cg...@gm...> wrote:
> I'm writing some code that requires a computing a cholesky
> factorization -- which appears to return L as a MatrixStore -- and
> everything I've written so far uses BasicMatrix data types. I'm at a
> loss for how to get a BasicMatrix from a MatrixStore without building
> it by hand, element-by-element. What's the recommended approach, in
> this case?