asa007, a Python code which computes the inverse of a symmetric positive definite (SPD) matrix, by Michael Healy.
This is a version of 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.
The computer code and data files described and made available on this web page are distributed under the MIT license
asa007 is available in a C version and a C++ version and a Fortran90 version and a MATLAB version and a Python version.
asa006, a Python code which computes the Cholesky factorization of a symmetric positive definite (SPD) matrix.
asa047, a Python code which implements the Nelder-Mead minimization algorithm.
Michael Healy