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gams:cholesky_decomposition [2007/10/21 06:11]
Franz Nelissen
gams:cholesky_decomposition [2007/10/21 06:12]
Franz Nelissen
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-Contributed by Aren Drud: If you just need the Cholesky decomposition then you can compute it in GAMS with a loop as shown below. It is an extension of Oyvind'​s program in which I increased the number of observations to ensure that the matrix was positive definite (10 observations gives a matrix that is very close to being singular). There are additional example discussing Cholesky decompositions and positive semidefinite matrices in the GAMS-L archive -- it is a popular area.+Contributed by Aren Drud: If you just need the Cholesky decomposition then you can compute it in GAMS with a  
 +loop as shown below. It is an extension of Oyvind'​s program in which I increased the number of observations ​ 
 +to ensure that the matrix was positive definite (10 observations gives a matrix that is very close to  
 +being singular). There are additional example discussing Cholesky decompositions and positive semidefinite ​ 
 +matrices in the GAMS-L archive -- it is a popular area.
 $offtext $offtext
 SETS SETS
IMPRESSUM / LEGAL NOTICEPRIVACY POLICY gams/cholesky_decomposition.txt · Last modified: 2007/10/21 06:22 by Franz Nelissen