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From |
Richard Herron <richard.c.herron@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Why is Mata much slower than MATLAB at matrix inversion? |

Date |
Fri, 20 Jul 2012 12:17:26 -0400 |

Patrick, -cholinv()- requires a symmetric positive definite matrix, but I don't think you M matrix is PD. Try -luinv()-. Although for most use cases your matrix will be symmetric, right? Then you should use -invsym()- or a solve function. Richard Herron On Thu, Jul 19, 2012 at 9:22 PM, Patrick Roland <patrick.rolande@gmail.com> wrote: > > I'm comparing two code snippets. In Mata: > > mata > timer_on(1) > M = rnormal(2000,2000,0,1) > J = cholinv(M) > timer_off(1) > timer() > end > > In MATLAB: > > tic; > M = normrnd(0,1,2000,2000); > J = inv(M); > toc; > > I find that MATLAB is about 20 times faster (1.5 seconds vs 30 > seconds). Is there something I'm missing here, or is MATLAB just much > faster at matrix inversion? I'd much prefer to use Mata because of > integration with Stata, but if the speed difference is going to be on > this order then MATLAB is more attractive. > > > Any input here is appreciated. > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Why is Mata much slower than MATLAB at matrix inversion?***From:*Patrick Roland <patrick.rolande@gmail.com>

**References**:**st: Why is Mata much slower than MATLAB at matrix inversion?***From:*Patrick Roland <patrick.rolande@gmail.com>

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