st: inverting large, sparse matrices

["Pierre Azoulay" <pierre.azoulay@gmail.com>]

Dear Statalisters,

I am looking into the best strategy (and software package) to invert a
sparse positive definite 25,000 by 25,000 matrix. Is that something
feasible at all? I really have no idea. Does one need a supercomputer
to do this? Or would Stata/MP and 16 gigs of RAM do on a server do?
Would stata and matlab serve me equally well? Are there references to
look at? Are cholinv() and invsym() the right mata functions to look
at? Will these functions make use of the fact that the matrix is
sparse?

Any help would be greatly appreciated.

Regards,

Pierre

-------------------------------------------------------------------
Pierre Azoulay
Assistant Professor of Strategy
Massachusetts Institute of Technology
Sloan School of Management
50 Memorial Drive — E52-555
Cambridge, MA 02142-1947

Tel [Sloan]: (617) 258-9766
Tel [NBER]: (617) 588-1464
Fax: (617) 253-2660

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