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Implement matrix inverse from scratch #2

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convoliution opened this issue Nov 2, 2017 · 2 comments
Open

Implement matrix inverse from scratch #2

convoliution opened this issue Nov 2, 2017 · 2 comments
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@convoliution
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Right now in linalg.py, I'm using numpy.linalg.inv() for matrix inverses.
I'd like to implement it from scratch instead, but it looks rather difficult...

Cholesky decomposition looks tractable, see:
@convoliution convoliution self-assigned this Nov 2, 2017
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Note that Cholesky decomposition is only applicable to Hermitian matrices, which will work for PCA but hopefully I can also implement a more general-case algorithm like LUP decomposition as a fallback

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convoliution commented Feb 1, 2018 •
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How to compute a matrix inverse using Cholesky decomposition

Back- and forward substitution

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