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" <jensen.bo@gmail.com>
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 <mccorywork@gmail.com> wrote:
> On Wed, Mar 2, 2011 at 2:06 PM, Bo Jensen <jensen.bo@gmail.com> 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.

>
> Ryan
> _______________________________________________
> Boost-users mailing list
> Boost-users@lists.boost.org
> http://lists.boost.org/mailman/listinfo.cgi/boost-users
>
_______________________________________________
Boost-users mailing list
Boost-users@lists.boost.org
http://lists.boost.org/mailman/listinfo.cgi/boost-users