Questions tagged [inverse]
For questions about computationally inverting a function/matrix/operation. The inverse "undoes" the action of the original operation, for example in the context of solving linear systems or differential equations.
40
questions
6
votes
1
answer
998
views
Why is matrix inversion unstable when svd is stable?
I've heard that matrix is inversion is unstable whereas the SVD is stable.
Now, if $A$ is an invertible matrix, then its SVD is
$$
A = USV^T
$$
Then wouldn't it's inverse just be
$$
A^{-1} = (USV^T)^{...
- 668
4
votes
1
answer
132
views
The error propagation in calculating the inverse using a matrix decomposition
I have been trying to calculate the matrix inverse of some large matrix with entries ranging by orders of magnitude. I tried to use the matrix decomposition to simplify the computation, where a matrix
...
3
votes
1
answer
95
views
SVD testing non zero values
I was looking at the matlab function pinv.m for the compuation of the pseudoinverse. The code uses the singular values decomposition.
$$
A = U D V
$$
When looking for non-zero diagonal elements it ...
- 153
2
votes
0
answers
212
views
Numerical instability in the inverse Laplace transform
I have a problem with Laplace inversion and my function is not numerically stable for the Laplace inverse, but I do not understand the cause of this problem.
Here is my code and graph of this problem. ...
- 31
1
vote
1
answer
551
views
MATLAB : find an algorithm to inverse quickly a large matrix of symbolic variables
I have to solve the equality between 2 matrixes 12x12 containing a lot of symbolic variables and with which I perform inversion of matrix. There is only one unknown called "...
user14831
2
votes
1
answer
924
views
How to Invert a Poorly Conditioned Matrix
In my research, I need to invert a Fisher matrix in order to get a covariance matrix for me to do parameter estimation. Unfortunately, the values of Fisher matrix vary by many orders of magnitude, and ...
1
vote
0
answers
433
views
Optimize speed for calculating the approximate inverse of a large matrix
I am searching for a faster method to calculate an approximate inverse of a large matrix (up to 32000x32000) resulting from a discrete non-linear system of partial differential equations. I'm using C++...
- 11
4
votes
3
answers
1k
views
Inverse of ill-conditioned symmetric matrix
I've got a matrix K, with dimensions $(n, n)$ where each element is computed using the following equation:
$$K_{i, j} = \exp(-\alpha t_i^2 -\gamma(t_i - t_j)^2 - \...
- 143
5
votes
1
answer
99
views
approximate function such that the inverse of the approximation is "simple"
I have a smooth enough injective function $f:[a, b]\to \mathbb{R}$ which I want to approximate by something that can be computed quickly, e.g., a Padé approximant of low degree,
$$
\frac{\sum_{j=0}^m ...
- 3,118
5
votes
1
answer
1k
views
Fast algorithm for computing cofactor matrix
I wonder if there is a fast algorithm, say ($\mathcal O(n^3)$) for computing the cofactor matrix (or conjugate matrix) of an $N\times N$ square matrix. And yes, one could first compute its determinant ...
- 53
4
votes
1
answer
478
views
Accurate way of getting the square root inverse of a positive definite symmetric matrix
What is the most accurate algorithm to get the square root inverse of a positive definite symmetric matrix? I am not looking as much for efficiency, though using quadruple precision computation is out ...
- 141
2
votes
1
answer
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views
Which pseudo-inverse to compute when Inverse is not possible? (No linear solve)
Let us assume that we have a function, $f(A)=\text{vec}(A^{-1})^\intercal B$, dependent on $A^{-1}$. However, due to some machine-precision limitations, the programming language I'm using cannot ...
1
vote
1
answer
6k
views
Computing the Inverse of a matrix, using the Cholesky decomposition
I have to compute $CA^{-1}B$ and $CA^{-1}x$, where $A,B,C$ are conformable matrices and $x$ is a vector.
I've read that the a very computationally stable way to compute these inverses is by computing ...
2
votes
1
answer
98
views
Inverting small matrices: canned factorization versus explicit formula
I am interested in solving a large number of small linear systems of equations, $Ax=b$, with $A$ either $2\times2$ or $3\times3$. Assuming none of these systems are actually singular, is there ...
- 725
4
votes
1
answer
202
views
Do I really need to invert this matrix
I need to calculate a matrix $A$ (at least some elements of it, see below) as defined by the following equation
$$ A=B(\mathbb{1}-B)^{-1} $$
where B is a square matrix of dimension $N$ and $\mathbb{...
- 247
7
votes
1
answer
3k
views
How to directly compute the inverse of an ill-conditioned dense matrix
I know that it is generally a bad idea to compute the inverse matrix directly. However, if it is necessary to compute the inverse of an ill-conditioned invertible dense matrix, then what can I try?
...
- 173
5
votes
1
answer
896
views
What is the fastest method to invert millions of matrices?
My project involves large simulation and estimation. For each simulation I need to solve 600,000 systems of nonlinear equations. Currently I am using Newton's method to find the solutions. That ...
- 53
1
vote
0
answers
90
views
How to fast estimate derivates for calculating quantiles
I would like to know if there exists a package or how one can fast calculate the quantiles of a function within python, where the inverse of the function for calculating the quantile depends on the ...
- 101
1
vote
2
answers
304
views
Inverting big symmetric and singular matrices
In this post I found a very similar probem to the one I have, but not a satisfactory answer for my purposes.
I have a set of matrices $C_\ell$. They are exactly symmetric by construction. ...
- 129
0
votes
1
answer
164
views
Sparse matrix inverse with reduced bandwidth
I have a sparse symmetric matrix of dimension 1393x1393 (8308 no zero elements), with bandwidth 1380. By Cuthill–McKee algorithm, I could achieve a new matrix with ...
- 1
1
vote
0
answers
133
views
Problem in analyzing the program of Gauss Jordan Inverse problem
I had to code a program which calculates Inverse of a matrix by Gauss-Jordan Inverse method , I was trying to analyse the program and then code it myself.
the link
http://hullooo.blogspot.in/2011/...
- 229
19
votes
2
answers
3k
views
Practical example of why it is not good to invert a matrix
I am aware about that inverting a matrix to solve a linear system is not a good idea, since it is not as accurate and as efficient as directly solving the system or using LU, Cholesky or QR ...
- 449
1
vote
0
answers
48
views
Numerically inverting an exponentially growing function (defined by Chebyshev polynomials)
Assume a function $M(t)$ strictly increasing, essentially growing exponentially, and asymptoptically growing at a known rate $\bar{g}$, i.e. $\lim_{t\to\infty}M'(t)/M(t) = \bar{g}$
In a set of awful ...
- 378
10
votes
1
answer
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views
The fast, and The Backward-Stable (left) $3\times 3$ matrix inverse
I need to compute a lot of $3\times3$ matrix inverses (for Newton iteration polar decomposition), with very small number of degenerate cases ($<0.1\%$).
Explicit inverse (via matrix minors divided ...
0
votes
1
answer
246
views
Fast computation of square root inverse of matrix, matrix being determined from Ax=b form
I have an equation of the form $J^Te=f$, where $e$ and $f$ are known vectors and $J$ is an unknown matrix.
How can I efficiently compute $J^T(JJ^T)^{-1/2}e$ ?
My motivation to address this problem ...
- 11
1
vote
1
answer
480
views
Calculate inverse of dense matrix with entries of very different magnitude
I need to calculate the inverse of a dense matrix, with some elements taking values as high as 1e9 and some around 1e2. What would be the best method to do it?
Note:
I am more concerned about the ...
- 113
17
votes
2
answers
14k
views
Complexity of matrix inversion in numpy
I am solving differential equations that require to invert dense square matrices. This matrix inversion consumes the most of my computation time, so I was wondering if I am using the fastest algorithm ...
- 399
4
votes
1
answer
114
views
Finding the matrix inverse given a solver for the matrix equation $Ax=b$
So I'm given a solver that can solve for $x$ in the matrix equation $\underset{=}{A} \underline{x} = \underline{b}$ where $b$ can be anything we specify. (NB: A is an NxN matrix).
I now want to find ...
1
vote
2
answers
195
views
Inverse of "diagonally not dominant matrix"
I want to frame a higher order Central difference scheme of about $20^{th}$ order for first derivative. I'm using $20^{th}$ order because I need one scheme with good modified wave number. To find the ...
- 544
4
votes
1
answer
478
views
Obtaining column vectors of pseudo-inverse of a matrix
I need to compute the pseudo-inverse of a very large rectangular dense matrix without any special structure or properties. I run out of memory/computing power and have no access to a large parallel ...
2
votes
0
answers
56
views
Inverted value is not consistent with expectation
We have a group of observations
$$y = f(x_1, x_2, x_3) \enspace .$$
We have also a forward model $y = f(x_1, x_2)$. The forward model does not include $x_3$ because $x_3$ might include dozens of ...
- 21
8
votes
0
answers
770
views
What is the source of the error in the Sherman-Morrison formula application?
The Sherman-Morrison formula
$$ (A+uv^T)^{-1} = A^{-1} - \frac{A^{-1}uv^TA^{-1}}{1+v^TA^{-1}u} $$
results in small errors in relation to the standard matrix inverse operation after each application, ...
- 180
3
votes
3
answers
804
views
Exact analytical matrix inversion of sparse 100x100 matrices in C++
I need to invert a matrix. Of course, I'm not the first person in this situation, and I know that there's a wealth of powerful libraries out there, of which I only know a couple.
That being said, ...
- 133
6
votes
1
answer
622
views
Is there a faster method to compute the geometric series of a matrix?
I want to calculate the geometric series of a matrix $A$:
$$S=I+A+A^2+\dots+A^n$$
and then apply to a vector $v$, $Sv$.
I've done it in Matlab with a loop and I think it's quite efficient applying ...
- 171
1
vote
1
answer
2k
views
computing the inverse of a large block diagonal sparse matrix in r
I would like to compute the inverse of some large block diagonal sparse matrix. The number of rows and columns is somewhat over 50,000. The blocks are 12 by 12 and are sparse (27 non zero elements).
...
- 21
3
votes
0
answers
62
views
Dominant contributions of a quadratic form
Let $\Sigma$ be a covariance matrix (e.g. symmetric positive definite). For arbitrary vectors $\epsilon$, I need to compute $\chi^2 \equiv \epsilon^\top\Sigma^{-1}\epsilon$, which I do using a ...
- 375
1
vote
0
answers
191
views
Efficient way to do congruent transformation using matrix inverse?
I know a square self-adjoint matrix $S_{vv}$ and I want to find:
$S_{rr} = HS_{vv}H^{\dagger}$
where $\dagger$ denotes conjugate transpose.
I do not know $H$ but I do know $H^{-1}$.
What is the ...
- 11
0
votes
2
answers
506
views
closed form approximation of matrix inverse with special properties
I'm trying to find some theory to help me explicitly express the inverse of a matrix (or a close approximation of the inverse). My matrix has the following properties:
invertible
positive definite
...
- 109
5
votes
2
answers
1k
views
Perturbation of Cholesky decomposition for matrix inversion
I am looking for a computationally cheap way to compute $x$ such that $$(L L^T + \mu^2 I)x = y$$
where $L \in \mathbb{R}^{n \times n}$ is a lower triangular definite positive matrix (with some very ...
9
votes
0
answers
517
views
Updating matrix diagonal with Woodbury matrix identity and maintaining numerical accuracy
I have a dense matrix A and its corresponding inverse $A^{-1}$. The Woodbury matrix identity states:
$$ (A + UCV)^{-1} = A^{-1} - A^{-1}U(C^{-1} + VA^{-1}U)^{-1}VA^{-1} $$
I wish to perform small ...
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