An Iterative Block Matrix Inversion (IBMI) Algorithm for Symmetric Positive Definite Matrices with Applications to Covariance Matrices

Ann Paterson, Jennifer Pestana, Victorita Dolean

Obtaining the inverse of a large symmetric positive definite matrix $\mathcal{A}\in {\mathbb{R}}^{p\times p}$ is a continual challenge across many mathematical disciplines. The comput…