A good discussion of this is provided by Gill, Murray and Wright
Num Lin Alg and Opt, section 4.7.2.
url: www.econ.uiuc.edu/~roger Roger Koenker
email rkoen...@uiuc.edu Department of Economics
vox: 217-333-4558 University of Illinois
fax: 217-244-6678 Urbana, IL 61801
On Jul 15, 2009, at 9:27 AM, Steve Lianoglou wrote:
Hi Douglas,
And the big lesson, of course, is the first rule of numerical linear
algebra., "Just because a formula is written in terms of the inverse
of a matrix doesn't mean that is a good way to calculate the result;
in fact, it is almost inevitably the worst way of calculating the
result". You only calculate the inverse of a matrix after you have
investigated all other possible avenues for calculating the result
and
found them to be fruitless.
As a relative noob to the nitty gritty details of numerical linear
algebra, could you elaborate on this a bit (even if it's just a link
to a book/reference that explains these issues in more detail)?
Where/what else should we be looking to do that would be better? Or
are there really no general rules, and the answer just depends on
the situation?
Thanks,
-steve
--
Steve Lianoglou
Graduate Student: Physiology, Biophysics and Systems Biology
Weill Medical College of Cornell University
Contact Info: http://cbio.mskcc.org/~lianos/contact
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