gams:cholesky_decomposition
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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 | ||
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gams/cholesky_decomposition.txt · Last modified: 2007/10/21 06:22 by Franz Nelissen
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