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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)
 $offtext $offtext
  
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 <​code>​ <​code>​
 $ontext $ontext
-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 
IMPRESSUM / LEGAL NOTICEPRIVACY POLICY gams/cholesky_decomposition.txt · Last modified: 2007/10/21 06:22 by Franz Nelissen