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[Help-gsl] Question about solving linear equation with GSL

From: Sheng Yu
Subject: [Help-gsl] Question about solving linear equation with GSL
Date: Tue, 6 Jan 2009 16:25:17 -0500


I'm new to GSL. I'm trying to solve equation Ax=b, using one of the
solvers in Linear Algebra pack.
A is a 914x914 matrix. It is symmetric and positive definite. I use
Cholesky Decomposition to decomposite A first and then
solve it. Here is the pseudo code:

  const size_t N = 914;
  gsl_matrix *A = gsl_matrix_alloc(N, N);
  gsl_vector *b = gsl_vector_alloc(N);
  gsl_vector *x = gsl_vector_alloc(N);

  // code to initialize A and b

  gsl_linalg_cholesky_solve(A, b, x);

It takes 0.25 seconds for the code to do Cholesky Decomposition and
solve. However, when I do it with Matlab with A\b, it only
takes 0.045 seonds (It even does not take advantage of the fact that A
is symmetric and positive definite). I'm wondering why
Matlab is much faster. Did I do something wrong?

Thank you!

Yu Sheng

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