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Re: [Help-gsl] LAPACK,CBLAS matrix inversion

From: Wei Cheng
Subject: Re: [Help-gsl] LAPACK,CBLAS matrix inversion
Date: Mon, 7 Aug 2006 16:25:52 +0100

I have tried matrix inversion using GSL LU,SVD and Cholesky decomposition ,
LU is the best and SVD is the slowest(probably because it taks more steps).
But in my application I need to invert 200 X 200 matrices 30,000,000 times.
It is taking toooo long and not yet finished.  Since Matlab is using Lapack,
so.. maybe lapack is more effeicent on large matrix.


On 8/7/06, Brian Gough <address@hidden> wrote:

At Fri, 4 Aug 2006 14:06:39 +0100,
Wei Cheng wrote:
> The cholesky decomposition and LU decomposition in GSL linear algerbra
> section, is only suitable for small matrix, for large matrix LAPACK is
> better as stated on GSL website. I am wondering if there is anyone who
> experience in using cholesky and LU decomposion in LAPACK?? My matrix is
> by 500. or where to find relavent information? Someone suggested to use
> CBLAS. What is the difference between LAPACK and CBLAS? Which is

I'd suggest you try the GSL routines first, following the examples in
the manual.  If they are not fast enough, try LAPACK.  The GSL
routines are acceptable in most cases -- for comparison, on a 500x500
SVD the GSL speed is about 30% of LAPACK.


Brian Gough

Network Theory Ltd,
Publishing the GSL Manual -

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