[Gretl-devel] eigenvalue speed and more (was Re: Re: speed of (m)ols with svd)
Am 28.12.2019 um 16:42 schrieb Sven Schreiber:
Am 28.12.2019 um 05:06 schrieb Allin Cottrell:
> It appears to be a free lunch, pretty much. The speed-up is
significant
> but not huge, something like 30 percent. That's now in git.
A follow-up about the standalone SVD without a LS problem:
OK sorry about this flood of postings, but there might be more.
1) Eigenvalues: An analogous situation to the SVD apparently exists for
eigenvalue problems: Gretl uses DSYEV, but there are also DSYEVD and
DSYEVR. On https://www.netlib.org/lapack/lug/node30.html it says again:
"[DSYEVD] is much faster than [DSYEV] for large matrices, but uses more
workspace."
But then there's also a third competitor: "[RRR / DSYEVR] is the fastest
algorithm of all (except for a few cases), and uses the least
workspace." Sounds almost like a no-brainer.
2) Complex stuff; I looked in lib/src/gretl_cmatrix.c for Lapack
routines used. Short summary:
-) ZHEEV: as with DSYEV; use ZHEEVD or ZHEEVR instead
-) ZGESVD: as with DGESVD; use ZGESDD instead
cheers
sven