[SciPy-User] linear algebra: quadratic forms without linalg.inv

Bruce Southey bsouthey@gmail....
Mon Nov 2 08:46:22 CST 2009


On 11/01/2009 09:03 PM, Sturla Molden wrote:
> josef.pktd@gmail.com skrev:
>    
>> In econometrics (including statsmodels) we have a lot of quadratic
>> forms that are usually calculate with a matrix inverse.
>>      
> That is a sign of numerical incompetence.
>    
By whom? :-)
Sure there are cases that just require solving of a linear system when 
inverses perhaps should not be used. But there are a lot of other cases 
especially statistical that you require an inverse such as getting 
standard errors and using solving algorithms that are way faster than 
than those that do not use inverses.

Although, statistical problems are usually bad numerically, some of the 
issues like speed and precision get further away with modern 64-bit 
cpus. Really it is getting the right tool for the job in hand.

Bruce






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