Re: [ROOT] Compute the determinant and invert a covariance matrix

From: Eddy Offermann (eddy@rentec.com)
Date: Sat Jul 12 2003 - 20:36:01 MEST


Hi Pierre,

Your matrix is probably not only symmetric but also postive definite (x^T A x >= 0)
For this case the TMatrixD::InvertPosDef() is the best choice.
Determinant is calculated through Double_t TMatrixD::Determinant().

Eddy

> 
> Hello,
> 
> I've to compute the determinant and to invert a matrix in order to
> evaluate density probabilities in a multi-gaussian distribution. So the
> matrix is symmetric, and diagonal terms are 2-3 order of magnitudes bigger
> than off-diagnoal terms. I want to minimize the error of truncature on
> determinant and inverse matrix. What should I use instead of
> TMatrix::Invert ?
> 
> Thank you!
> 
> Pierre-Luc Drouin
> 



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