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gams:cholesky_decomposition [2007/10/21 06:12] Franz Nelissen |
gams:cholesky_decomposition [2007/10/21 06:22] (current) Franz Nelissen |
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Cholesky Decomposition | Cholesky Decomposition | ||
- | Contributed by Oyvind Hoveid | + | Contributed by Oyvind Hoveid (oyvind.hoveid@nilf.no) |
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<code> | <code> | ||
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- | Contributed by Aren Drud: If you just need the Cholesky decomposition then you can compute it in GAMS with a | + | 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 | 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 | to ensure that the matrix was positive definite (10 observations gives a matrix that is very close to |