Rybicki Press algorithm

The Rybicki–Press algorithm is a fast direct algorithm for inverting a matrix, whose entries are given by $A(i,j)=\exp(-a\vert t_{i}-t_{j}\vert )$, where $a\in \mathbb {R}$.

References

• Rybicki, George B.; Press, William H. (1995), "Class of fast methods for processing Irregularly sampled or otherwise inhomogeneous one-dimensional data", Physical Review Letters, 74: 1060, arXiv:comp-gas/9405004, doi:10.1103/PhysRevLett.74.1060.