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


From   David Hoaglin <dchoaglin@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Why is Mata much slower than MATLAB at matrix inversion?
Date   Tue, 24 Jul 2012 09:10:46 -0400

For large matrices, differences in the detailed programming of matrix
multiplication may have a substantial effect on speed.

And for obtaining factorizations and inverses of matrices, it is
difficult to make comparisons among software platforms without knowing
the details of the algorithms and their implementation.  The empirical
evidence presented in this discussion is useful, but it would be much
easier to interpret in the context of the underlying programs (which
may be low-level and well-understood only by experts).  As users, we
take the various matrix operations for granted, but one could not have
done that in the early 1970s.  We have the numerical analysis
community to thank for a substantial research effort, and the late
Gene H. Golub deserves special recognition.

David Hoaglin
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