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ASA007\ Inverse of a Symmetric Positive Definite Matrix {#asa007-inverse-of-a-symmetric-positive-definite-matrix align=”center”} ===============================================

ASA007 is a C++ library 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.

Licensing: {#licensing align=”center”}

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages: {#languages align=”center”}

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 C++ library which computes the Cholesky factorization of a symmetric positive definite matrix. A version of this routine is used by ASA007.

ASA047, a C++ library which implements the Nelder-Mead minimization algorithm, and uses a version of ASA007 for the computation.

LAPACK_EXAMPLES, a FORTRAN77 program which demonstrates the use of the LAPACK linear algebra library.

LINPACK_D, a C++ library which includes routines to compute the inverse of symmetric positive matrix using double precision real arithmetic.

Author: {#author align=”center”}

Michael Healy

Reference: {#reference align=”center”}

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: {#source-code align=”center”}

asa007.cpp, the source code.
asa007.hpp, the include file.

Examples and Tests: {#examples-and-tests align=”center”}

asa007_prb.cpp, a sample calling program.
asa007_prb_output.txt, the output file.

List of Routines: {#list-of-routines align=”center”}

CHOLESKY computes the Cholesky factorization of a PDS matrix.
SYMINV computes the inverse of a symmetric matrix.
TIMESTAMP prints out the current YMDHMS date as a timestamp.

You can go up one level to the C++ source codes.

Last revised on 14 December 2011.