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 gams:cholesky_decomposition [2007/10/21 06:11]Franz Nelissen gams:cholesky_decomposition [2007/10/21 06:22]Franz Nelissen Both sides previous revision Previous revision 2020/05/27 11:30 Michael Bussieck 2007/10/21 06:22 Franz Nelissen 2007/10/21 06:12 Franz Nelissen 2007/10/21 06:11 Franz Nelissen 2007/10/20 18:15 Franz Nelissen 2007/10/20 07:19 Franz Nelissen 2007/09/27 04:53 external edit Next revision Previous revision 2020/05/27 11:30 Michael Bussieck 2007/10/21 06:22 Franz Nelissen 2007/10/21 06:12 Franz Nelissen 2007/10/21 06:11 Franz Nelissen 2007/10/20 18:15 Franz Nelissen 2007/10/20 07:19 Franz Nelissen 2007/09/27 04:53 external edit Last revision Both sides next revision Line 6: Line 6: \$ontext \$ontext Cholesky Decomposition Cholesky Decomposition - Contributed by Oyvind Hoveid + Contributed by Oyvind Hoveid ​(oyvind.hoveid@nilf.no) \$offtext \$offtext Line 49: Line 49: <​code>​ <​code>​ \$ontext \$ontext - 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 Arne Drud (adrud@arki.dk): + 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