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.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
ASA007 is available in a C version and a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version
ASA006, a MATLAB library which computes the Cholesky factorization of a symmetric positive definite matrix. A version of this routine is used by ASA007.
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.
You can go up one level to the MATLAB source codes.