If the source matrix is a covariance matrix, then using Cholesky decomposition is efficient. The implementation of QR-Householder matrix inverse presented in this article emphasizes simplicity and ...

Kunio Tanabe, Masahiko Sagae, An Exact Cholesky Decomposition and the Generalized Inverse of the Variance-Covariance Matrix of the Multinomial Distribution, with Applications, Journal of the Royal ...

Timo Mäkeläinen, George P. H. Styan, A Decomposition of an Idempotent Matrix Where Nonnegativity Implies Idempotence and None of the Matrices Need Be Symmetric, Sankhyā: The Indian Journal of ...

There are several algorithms to compute a matrix inverse, and each algorithm has several variations. Three common algorithms are LUP ("lower upper permutation"), SVD ("singular value decomposition") ...