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 Post subject: Matrix InversionPosted: Mon, 30 Nov 2009 22:44:42 UTC
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Joined: Mon, 30 Nov 2009 22:36:45 UTC
Posts: 2
Hello,

I am trying to invert a large symmetrical covariance matrix (91, 91), and having a bit of a nightmare with it! I have tried using singular value decomposition, and whilst the product of A*A^(1) is approximately a unit matrix, the diagonal elements of the inverted matrix are a mixture of positive and negative values, whilst the diagonal elements of the original matrix are all positive, as such when I try to take the square root of the inverted matrix all hell breaks loose! I think that it may have something to do with the fact that the condition number is quite large. However I have some matrices that do not have a particularly large condition number (i.e. about 1000), and I am still running into problems. I am trying to do this in IDL by the way, and would appreciate any help what-so-ever.
Thanks,
Sam

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 Post subject: Posted: Tue, 1 Dec 2009 03:22:33 UTC

Joined: Sat, 26 Apr 2003 22:14:40 UTC
Posts: 2063
Location: El Paso TX (USA)
Welcome to the CyberBoard, sam.illingworth! Please post your question only once. Thanks!

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 Post subject: Posted: Mon, 7 Dec 2009 20:08:34 UTC
 Member

Joined: Wed, 11 Nov 2009 21:45:15 UTC
Posts: 49
I'm not really sure what your question is. However you cannot take the sqrt of a negative number. I would think this is why you run in to trouble

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