On Tuesday 06 January 2009 22:25:17 Sheng Yu wrote: > Hi, > > I'm new to GSL. I'm trying to solve equation Ax=b, using one of the > solvers in Linear Algebra pack. > A is a 914x914 matrix. It is symmetric and positive definite. I use > Cholesky Decomposition to decomposite A first and then > solve it. Here is the pseudo code: > > const size_t N = 914; > gsl_matrix *A = gsl_matrix_alloc(N, N); > gsl_vector *b = gsl_vector_alloc(N); > gsl_vector *x = gsl_vector_alloc(N); > > // code to initialize A and b > > gsl_linalg_cholesky_decomp(A); > gsl_linalg_cholesky_solve(A, b, x); > > It takes 0.25 seconds for the code to do Cholesky Decomposition and > solve. However, when I do it with Matlab with A\b, it only > takes 0.045 seonds (It even does not take advantage of the fact that A > is symmetric and positive definite). I'm wondering why > Matlab is much faster. Did I do something wrong? > I don't think GSL is meant to be the fastest code out there, so this is not really an issue. As long as you get the same results from GSL or matlab I don't think you're doing anything wrong. If you're looking for speed, you should turn to some optimized linear algebra routine like e.g. LAPACK.
grtz Steven
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