Fast solution of dense linear system of fixed dimension (N=9), symmetric, positive-semidefinite

Question

Which algorithm you would recommend for fast solution of dense linear system of fixed dimension (N=9) (matrix is symmetric, positive-semidefinite)?

• Gaussian el

Answer 1

Generally, one is best off using an existing library, rather than a roll-your-own approach, as there are many tedious details to attend to in pursuit of a fast, stable numerical implementation.

Here's a few to get you started:

Eigen library (my personal preference):
http://eigen.tuxfamily.org/dox/QuickRefPage.html#QuickRef_Headers

Armadillo: http://arma.sourceforge.net/

Search around and you'll find plenty of others.