I know I should avoid the inversion, but in that particular case (inference over a multi dimensional gaussian model) I did not manage to avoid computing the full precision matrix. But thx for the suggestion :) While there are bang version of inv! for specific structures (triangular), would be nice to provide an easier way to give a placeholder for the inversion.
Le mardi 6 septembre 2016 15:57:32 UTC+2, Steven G. Johnson a écrit : > > > > On Monday, September 5, 2016 at 1:52:40 PM UTC-4, Mirmu wrote: >> >> I am currently needing a loop, keeping track of two large matrices. >> One is a container for a Cholesky Factor F, and I update it using the >> on-place version lowrankupdate!. >> The other one is its inverse, say M, that I can compute simply doing >> inv(F). >> > > (If you have the cholesky factor, why are you computing the inverse? > Almost anything you might want to do with the inverse matrix can be done > more efficiently with the Cholesky factor directly.) >
