asa007


asa007, a FORTRAN77 code which computes the inverse of a symmetric positive definite matrix, by Michael Healy.

ASA007 is Applied Statistics Algorithm 7.

The algorithm implemented here uses a compressed storage for both the matrix A and the factor U. This saves some storage, but can make computations a little awkward.

Licensing:

The computer code and data files described and made available on this web page are distributed under the MIT license

Languages:

asa007 is available in a C version and a C++ version and a Fortran90 version and a MATLAB version and an Octave version and a Python version.

Related Data and Programs:

asa006, a FORTRAN77 library which computes the Cholesky factorization of a symmetric positive definite matrix. A version of this routine is used by ASA007.

ASA047, a FORTRAN77 library which implements the Nelder-Mead minimization algorithm, and uses a version of ASA007 for the computation.

LAPACK_EXAMPLES, a FORTRAN77 program which demonstrates the use of the LAPACK linear algebra library.

LINPACK, a FORTRAN77 library which includes routines to compute the inverse of symmetric positive matrix.

Author:

Michael Healy

Reference:

  1. Michael Healy,
    Algorithm AS 7: Inversion of a Positive Semi-Definite Symmetric Matrix,
    Applied Statistics,
    Volume 17, Number 2, 1968, pages 198-199.

Source Code:

Examples and Tests:

List of Routines:

You can go up one level to the FORTRAN77 source codes.


Last revised on 31 January 2008.