Hi Pierre, For the moment use Double_t TMatrixD::Determinant() in a future release I will have InvertPosdef changed to InverPosdef(Double_t *determ_ptr = 0) so that if you supply a pointer to a Double_t the determinant is returned (like the Invert function) Eddy > Date: Mon, 14 Jul 2003 11:10:55 -0400 (EDT) > From: Pierre-Luc Drouin <pldrouin@physics.carleton.ca> > To: Eddy Offermann <eddy@rentec.com> > cc: roottalk@pcroot.cern.ch > Subject: Re: [ROOT] Compute the determinant and invert a covariance matrix > MIME-Version: 1.0 > > Hi, > > So I'll use this function. To compute the determinant of this kind of > matrix, what should I use? > > Thank you! > > Pierre-Luc Drouin > > On Mon, 14 Jul 2003, Eddy Offermann wrote: > > > Hi Pierre, > > > > > Hi, > > > > > > 1) No it's a covariance matrix used in a multi-gaussian distribution. Some > > > of the terms are positive and some others are negative. The matrix is > > > symmetric with a dominant diagonal. > > > > So your density distribution of the joint normal distribution is of the form > > > > prob = constant exp(-1/2 (x-a)^T B (x-a)) > > > > where x is your n-component vector and C = Invert(B) is the covariance matrix. > > > > B (and therefore C) IS positive definite so that y^T B y >=0 for any y !! > > > > > > > > 2) To inverse the matrix, I wanted to use TRSINV, but you're right, it's > > > only for positive matrices, so it will not work... I need another > > > function... > > > > > > > NO you can use TMatrix::InverPosdef() > > > > Eddy > > > > > Thank you! > > > > > > Pierre-Luc Drouin > > > > > > On Sat, 12 Jul 2003, Eddy Offermann wrote: > > > > > > > Hi Pierre, > > > > > > > > I got lost in the flurry of questions and replies: > > > > > > > > 1) Is your matrix not positive definite involving density prob. ?? > > > > if so why ?? > > > > 2) Valeri points you to Cholesky decomposition routines which > > > > are no different than the TMatrixD::InvertPosDef() routine. > > > > I would suggest to make use of the TMatrix class function > > > > if you already have your data stored in it. > > > > > > > > Eddy > > > > > > > > > > > > > > Hi, > > > > > > > > > > my matrix is not only positive... > > > > > > > > > > Pierre-Luc Drouin > > > > > > > > > > On Sat, 12 Jul 2003, Eddy Offermann wrote: > > > > > > > > > > > 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 > > > > > > > > > > > > > > > > > > > > > > > > > > > Eddy A.J.M. Offermann Renaissance Technologies Corp. Route 25A, East Setauket NY 11733 e-mail: eddy@rentec.com http://www.rentec.com
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