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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 21:19:37 -0400 |

Snap. Yes, your m from -runiform()- will certainly be invertible. Richard Herron On Fri, Jul 20, 2012 at 7:14 PM, Patrick Roland <patrick.rolande@gmail.com> wrote: > To be clear, my point was that all Mata matrix inverse functions are > slower than MATLAB. It does seem though that this is not true for > small matrices (e.g. 100x100), but the difference is easily an order > of magnitude when it comes to larger matrices (2000x2000). > > The fact that I compared cholinv() and a general inverse function > should be to Mata's favor, since cholinv should presumably be faster > if it exploits the special structure of the matrix. > > X'X is positive definite if X is invertible (as in my example), > because a'X'Xa = (Xa)'(Xa) > 0. > > On Fri, Jul 20, 2012 at 2:48 PM, David M. Drukker <ddrukker@stata.com> wrote: >> Patrick Roland <patrick.rolande@gmail.com> posted that the Mata function >> -cholinv()- is slower than a Matlab function for large matrices. >> >> Others have discussed some issues with Patrick's example. Despite these >> issues, we took Patrick's post seriously, looked at the code, and found >> something that could be sped up. >> >> We will release a faster version of -cholinv()- in an upcoming executable >> update. >> >> Note that any speed difference related to -cholinv()- is only noticeable for >> large matrices. For small matrices, such as variance-covariance matrices >> for models with 100 or fewer parameters, the difference is much harder to >> find. For example, the computation takes about .001 seconds on my machine. >> >> Best, >> David >> ddrukker@stata.com >> >> >> * >> * 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/ * * 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>

**Re: st: Why is Mata much slower than MATLAB at matrix inversion?***From:*"David M. Drukker" <ddrukker@stata.com>

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

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