Re: [Boost-users] [uBLAS] Matrix inversion

LU is a good method for Matrix Inverse (see Numerical Recipes). Been using it for quite a while. You can always calculate the determinant of the inverse and multiply it with the determinant of the original Matrix to determine how good the inversion is. Boost implements are available online somewhere - i copied them as is. For Kalman filters, ensure that the matrices are stable ie Determinants are not near zero. have fun ----- Original Message ----- From: "Bo Jensen" To: boost-users@lists.boost.org Sent: Thursday, March 3, 2011 10:16:11 AM Subject: Re: [Boost-users] [uBLAS] Matrix inversion On Thu, Mar 3, 2011 at 4:04 PM, Ryan wrote:

On Wed, Mar 2, 2011 at 2:06 PM, Bo Jensen wrote:

...

LU is a factorization of the matrix not a inverse...in real life inverting the matrix is only for small examples.

Since I'm dealing with a Kalman Filter in my real life the inverse is needed.

Sorry my mistake, I did not know of Kalman Filter. I work with high performance linear algebra where inversion is a no no.

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