asa007, a MATLAB code which computes the inverse of a symmetric positive definite (SPD) matrix, by Michael Healy.
This is Applied Statistics Algorithm 7.
The algorithm implemented here uses a compressed storage for both the matrix A and the factor U. This saves some storage, but can make computations a little awkward.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
asa007 is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version
asa006, a MATLAB code which computes the Cholesky factorization of a symmetric positive definite (SPD) matrix. A version of this routine is used by ASA007.
asa047, a MATLAB code which implements the Nelder-Mead minimization algorithm, and uses a version of ASA007 for the computation.
Michael Healy