Dr. James McCaffrey of Microsoft Research presents a full-code, step-by-step tutorial on an implementation of the technique that emphasizes simplicity and ease-of-modification over robustness and ...

Seems like GE on a 2x2 matrix should be pretty darn fast.... especially if you use scalar * vector type operations.

Dozens of machine learning algorithms require computing the inverse of a matrix. Computing a matrix inverse is conceptually easy, but implementation is one of the most challenging tasks in numerical ...

We consider the problem of finding a valid covariance matrix in the foreign exchange market given an initial nonpositively semidefinite (non-PSD) estimate of such a matrix. The common no-arbitrage ...