For the record, the procedure that I suggested is very close to what is 
actually implemented in FilteredMatrix. If you want to store N FilteredMatrix, 
that is not going to store N matrices. Internally, FilteredMatrix only uses a 
pointer to the matrix, and a couple of vectors to perform precisely the kind of 
operation I explained in my previous email.

Luca.

--
Luca Heltai <[email protected]>
http://people.sissa.it/~heltai/
Scuola Internazionale Superiore di Studi Avanzati
Phone:  +39 040 3787 449, Office: 732
--
There are no answers, only cross references

On Jan 12, 2011, at 1:36 PM, Martin Stoll wrote:

> Hi,
> 
> thanks all for the suggestions. 
> 
> As I am doing an all-(time-steps)-at-once approach the Filtered matrix is 
> probably not useful as I would have to store N_T times Filtered matrix with 
> different constraints, which for that format would mean to store N_T saddle 
> point systems in advance. 
> 
> It looks as I will follow Martin's and Luca's suggestion. 
> 
> Thank you all so much for your help.
> 
> Best,
> Martin

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