[SciPy-User] linear algebra: quadratic forms without linalg.inv
Sturla Molden
sturla@molden...
Sun Nov 1 21:03:14 CST 2009
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.
You see this often in statistics as well, people who think matrix
inverse is the way to calculate mahalanobis distances, when you should
really use a Cholesky.
As for LU, I'd rather use an SVD as it is numerically more stabile.
Using LU, you are betting on singular values not being tiny. With SVD
you can solve an ill-conditioned system by zeroing tiny singular values.
With LU you just get astronomic rounding errors.
Sturla
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