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Determinant of a matrix
- From: Przemyslaw Sliwa <sliwa at euv-frankfurt-o dot de>
- To: gsl-discuss at sources dot redhat dot com
- Date: Tue, 22 Oct 2002 12:01:02 +0200
- Subject: Determinant of a matrix
Hello,
The determinant of a symmetric positive definite matrix is just the
product of the squares of the diagonal elements form the cholesky
decomposition (NAG documentation). So why I'm getting different
results form gsl_LU decomposition and the cholesky decomposition
of a 10*10 Hilbert matrix (elemenst i,j given by 1/(i+j-1)).
The results are not very big, but still they exist (determinant about
0.5E+13 and
the difference 6.0E+1). Is it a bug, or the LU decomposition is unstable.
What should be suggested: determinant of a covariance matrix: its
Cholesky form or computation from LU decomposition.
Thanks for help
Przem