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[Help-gsl] solving linear system with large matrices

From: Jan Ehrhardt
Subject: [Help-gsl] solving linear system with large matrices
Date: Wed, 07 Mar 2007 09:26:25 +0100
User-agent: Mozilla Thunderbird 1.0.2 (X11/20050317)


I want to solve a linear system Ax=b, where A is symmetric, positive definite square matrix. However, the size of the matrix is very large: approx. 65000x65000 or larger so an allocation of the whole matrix will fail. A is a tridiagonal matrix with two side diagonal entries, all other entries are zero.

So the structure is like

but squared and much larger. I think a cholesky decomposition should work to solve the system, but how can
I allocate and store the matrix?
I gsl is not able to handle such large matrices, are there other possible solutions/libraries?



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