I have tried matrix inversion using GSL LU,SVD and Cholesky decomposition , LU is the best and SVD is the slowest(probably because it taks more steps). But in my application I need to invert 200 X 200 matrices 30,000,000 times. It is taking toooo long and not yet finished. Since Matlab is using Lapack, so.. maybe lapack is more effeicent on large matrix.
Wei On 8/7/06, Brian Gough <[EMAIL PROTECTED]> wrote:
At Fri, 4 Aug 2006 14:06:39 +0100, Wei Cheng wrote: > The cholesky decomposition and LU decomposition in GSL linear algerbra > section, is only suitable for small matrix, for large matrix LAPACK is > better as stated on GSL website. I am wondering if there is anyone who has > experience in using cholesky and LU decomposion in LAPACK?? My matrix is 500 > by 500. or where to find relavent information? Someone suggested to use > CBLAS. What is the difference between LAPACK and CBLAS? Which is better?? Hello, I'd suggest you try the GSL routines first, following the examples in the manual. If they are not fast enough, try LAPACK. The GSL routines are acceptable in most cases -- for comparison, on a 500x500 SVD the GSL speed is about 30% of LAPACK. -- regards, Brian Gough Network Theory Ltd, Publishing the GSL Manual - http://www.network-theory.co.uk/gsl/manual/
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