On Tue, Aug 31, 2010 at 4:52 PM, Dan Elliott <danelliotts...@gmail.com>wrote:
> David Warde-Farley <dwf <at> cs.toronto.edu> writes: > > On 2010-08-30, at 10:36 PM, Charles R Harris wrote: > > I think he means that if he needs both the determinant and to solve the > > system, it might be more efficient to do > > the SVD, obtain the determinant from the diagonal values, and obtain the > > solution by multiplying by U D^-1 V^T? > > Thank you, that is what I meant. Poorly worded on my part. > > In particular, I am writing code to invert a very large covariance matrix. > I > think David has some good information in another post in this thread. > > Where did the covariance array come from? It may be the case that you can use a much smaller one, for instance in PCA of images. Chuck
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