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Topic: Q: Speed of compilied eig() vs. MEX-file
Replies: 4   Last Post: Sep 27, 1996 12:06 PM

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Steve Lutes

Posts: 12
Registered: 12/7/04
Q: Speed of compilied eig() vs. MEX-file
Posted: Sep 17, 1996 10:41 AM
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I'm computing the eigenvalues of 1000 by 1000 covariance matrix and
need to speed up the process. The matrix is real, symmetric, Toeplitz
and positive definite.

Which would be faster:

(1) Compiling the eig() function to a MEX-file with array bounds
checking off, all numbers assumed real and the 'nobalance'

(2) Taking the eigenvalue code from Numerical Recipes in C
(specifically routines tred2 and tqli) and making it into
a MEX-file.

Does anyone have experience with this?

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