asa007

asa007, a C code which computes the inverse of a symmetric positive definite (SPD) matrix, by Michael Healy.

This is Applied Statistics Algorithm 7.

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 MIT 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:

asa007_test

asa006, a C code which computes the Cholesky factorization of a symmetric positive definite matrix. A version of this routine is used by asa007.

asa047, a C code which implements the Nelder-Mead minimization algorithm, and uses a version of asa007 for the computation.

linpack_d, a C code which includes routines to compute the inverse of symmetric positive definite (SPD) matrix using double precision real arithmetic.

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:

• asa007.h, the include file.
• asa007.sh, compiles the source code.

• cholesky.c, computes the Cholesky factorization of a PDS matrix.
• syminv.c, computes the inverse of a symmetric matrix.