[SciPy-user] solve for symetric matrix ?
Thu Apr 26 10:27:56 CDT 2007
On 26/04/07, Nils Wagner <email@example.com> wrote:
> If you can't believe it run the attached script.
> I get
> python -i cholesky_lu.py
> Elapsed time LU 0.291770935059
> Residual 1.65732165386e-14
> Elapsed time Cholesky 0.210819959641
> Residual 1.8009241117e-14
Notice here that Cholesky is less than a factor of two faster. It'll
never be much better than that in general. So you're not going to win
much on speed.
Personally I prefer to use SVD for matrix inversions - it's much more
reliable, which I value more than speed. It allows me to diagnose
whether the matrix is singular or ill-conditioned and deal with that.
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