Higham

The "GEE! It's Simple" package illustrates Gaussian elimination with partial pivoting, which produces a factorization of P*A into the product L*U where P is a permutation matrix, and L and U are lower and upper triangular, respectively.The functions in this package are accurate, but they are far...


Platforms: Matlab

Implementation of Nicholas J. Higham's algorithm "Computing the Nearest Correlation Matrix - A Problem from Finance", 2002.http://eprints.ma.man.ac.uk/232/01/covered...S_ep2006_70.pdf


Platforms: Matlab

X = POWERM_PADE(A,P) computes the P'th power X of the matrix A, for arbitrary real P and A with no nonpositive real eigenvalues, by the Schur-Pade algorithm. [X,NSQ,M] = POWERM_PADE(A, P) returns the number NSQ of matrix square roots computed and the degree M of the Pade approximant used.If A is...


Platforms: Matlab

This submission contains two functions for computing EXPM(t*A)*b without explicitly forming EXPM(t*A), where A is an n-by-n matrix and b is an n-by-1 vector. This is the problem of computing the action of the matrix exponential on a vector.EXPMV(t,A,B, computes EXPM(t*A)*B, while...


Platforms: Matlab

The Matrix Computation Toolbox is a collection of MATLAB M-files containing functions for constructing test matrices, computing matrix factorizations, visualizing matrices, and carrying out direct search optimization. Various othermiscellaneous functions are also included. This toolbox supersedes...


Platforms: Matlab

The aim of this simple benchmark is to illustrate the interest of restarting Nelder-Mead locally, from the last solution found, until no improvement is reached (to a given accuracy).Also, it shows that fminsearch has great difficulties at minimizing the most simple, smooth quadractic, objective...


Platforms: Matlab