Re: Robust Inversion of a Matrix

On Fri, 29 Aug 2008 01:36:36 -0500, namlak wrote:

On Thu, 28 Aug 2008 05:53:06 -0500, namlak wrote:

Hello,

i want to compute the inverse of a positive semi-definite matrix A. To
insure robustness of the inversion i want to use a simple
regularization
of the form:

A' = A + delta*I

where delta is the regularization parameter and A' is the regularized
matrix. Is anyone familiar with any empirical rules to determine delta
based on the values of the elements of the matrix A?

thank you,
N.

I think you're more likely to insure that the inverse of A' bears no
relation to the inverse of A.

The applied math newsgroup is really good, there are a lot more folks on

that group that really know their stuff compared to this one.

---
Tim Wescott
www.wescottdesign.com
Control and communications system consulting


Hi Tim,

what's the address of this applied math newsgroup?

N.

sci.math.num-analysis. The signal-to-noise ratio looks low today, but
you may wish to give it a try anyway.
.