I have a matrix of 3600 x 3600 and want to find its inverse. I used the matrix.inverse() method but it takes too long. How to do it faster? If you can, please provide an example.

What is "too long" for you and what would be a reasonable amount of time?

Here it takes 4s (Eigen 3.3-beta1, -O3 -mfma, double precision, i7 2.6GHz)

Wow, mine is around 15min with i5, 1.6GHz... Maybe there is something I do wrong...

Code: Select all

float alpha = 0.1f;
float beta = 0.4f;
float gamma = 0.1f;
int w = 3600;
int h = 3600;
 //====================================================================================
// set pentadiagonal matrix
//====================================================================================
double a = 1 - gamma * (2 * alpha + 6 * beta);
double b = -gamma * (-alpha - 4 * beta);
double c = -gamma * beta;

Matrix<double, Eigen::Dynamic, Eigen::Dynamic> coeff;
coeff.resize(w, h);
coeff.setZero();

coeff.diagonal().setConstant(a);
coeff.diagonal(1).setConstant(b);
coeff.diagonal(-1).setConstant(b);
coeff.diagonal(2).setConstant(c);
coeff.diagonal(-2).setConstant(c);
coeff.diagonal(w-2).setConstant(c);
coeff.diagonal(2-h).setConstant(c);
coeff.diagonal(w-1).setConstant(b);
coeff.diagonal(1-w).setConstant(b);
//====================================================================================
//inverse matrix
//====================================================================================
Matrix<double, Eigen::Dynamic, Eigen::Dynamic> inverse;
inverse = coeff.inverse();


What's your compiler? Make sure to enable compiler optimizations. (e.g., -O3).

MSVC 14 but Visual Studio 2015 somehow doesn't support compiler optimizations.

/O2 for MSVC. https://msdn.microsoft.com/en-us/library/8f8h5cxt.aspx