Dear R group, I have to solve a hessian matrix 40*40, called M, in order to obtain the standart deviations of estimators. When I use the function solve(M), I have the following error message: "Error in solve.default(M) : Lapack routine dgesv: system is exactly singular" Do you know an alternative approach which could succeed? I have found some information about the function "ginv" (library MASS), has someone already used it in such a situation? Thank you very much for your responses. Eve MATHIEU.
problem to solve a matrix
2 messages · Eve Mathieu, Brian Ripley
On Tue, 2 Nov 2004, Eve Mathieu wrote:
Dear R group, I have to solve a hessian matrix 40*40, called M, in order to obtain the standart deviations of estimators. When I use the function solve(M), I have the following error message: "Error in solve.default(M) : Lapack routine dgesv: system is exactly singular"
Note that a Hessian matrix is symmetric and positive definite, so special-purpose methods are appropriate. But that warning normally means exactly what it says: the matrix is singular and hence not invertible.
Do you know an alternative approach which could succeed? I have found some information about the function "ginv" (library MASS), has someone already used it in such a situation?
Yes, for an exactly singular Hessian, but I knew why it was singular and that I wanted to ignore the two singular directions since variation along them would be removed at a later stage.
Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595