Solving large matrix equations

[Jaroslav Hajek]

On Tue, Apr 7, 2009 at 9:55 AM, Martin Heller <mr_heller at yahoo.dk> wrote:
> I am new to Octave and am trying to write a function for differentiating
> some
> data based on this paper:
> <http://math.lanl.gov/Research/Publications/Docs/chartrand-2007-numerical.pdf>
>
> My attempt is shown below and it seems to work but my data sets contain
> 10000-15000 points which is too much for Octave to handle when solving
> the problem using my simple minded approch.
>
> I was wondering if there is a standard way to solve large matrix problems in
> Octave that I could take advantage of? At the moment I just feed smaller
> chunks of data to my function and this gets the job done.
>

Since your H matrix is full, you're solving a full system using
LAPACK, and 10000 is really too much, at least for a typical computer.
My advice is you avoid forming of the matrix H explicitly and rather
express its action on a vector via a function (K should be doable with
cumsum and D with diff). Then you'll be able to feed the function into
pcg and get your solution.

-- 
RNDr. Jaroslav Hajek
computing expert & GNU Octave developer
Aeronautical Research and Test Institute (VZLU)
Prague, Czech Republic
url: www.highegg.matfyz.cz