A "moving window" matrix inversion?

조회 수: 4 (최근 30일)
Josh Carmichael
Josh Carmichael 2013년 5월 30일
I have a tall, skinny column matrix, H. It has N rows. I want to compute a "moving matrix inverse" along H'*H, using L << N rows at a time. That is, I want to produce another matrix, iH, that looks like this at sample k:
iH = inv( H(k:k+L-1,:)'*H(k:k+L-1,:) );
I know inv.m isn't what I want to use, I just want to communicate the idea, and it's more cumbersome to write A\eye(size(A,2)).
One "dumb" option is to use an anonymous function:
invStat = @(k) inv( H(k:k+L-1,:)'*H(k:k+L-1,:) );
and to do:
invStat = cellfun(invStat, num2cell(1:N-L));
But when N is huge (like 1e5), and L is small (like 1e1) this is ridiculously slow. I have no special toolboxes (other than stats and signal processing).

답변 (0개)

카테고리

Help CenterFile Exchange에서 Linear Algebra에 대해 자세히 알아보기

제품

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by