[Numpy-discussion] inverting and calculating eigenvalues for many small matrices

[Gael Varoquaux]

On Mon, Jul 11, 2011 at 05:01:07PM -0400, Daniel Wheeler wrote:
> Hi, I am trying to find the eigenvalues and eigenvectors as well as
> the inverse for a large number of small matrices. The matrix size
> (MxM) will typically range from 2x2 to 8x8 at most. 

If you really care about speed, for matrices of this size you shouldn't
call a linear algebra pack, but simply precompute the close-form
solution. Here is sympy code that I used a while ago to generate fast
code to do inverse of SPD matrices.

G
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