Hello Jean-François,

There is a dedicated functionality for covariance matrix estimation in Math Kernel Library. You can check Statistical Functions - Summary Statistics chapter in Reference Manual. You can also check the following example: ./vslc/source/vslsbasicstats.c

Ilya

## Cost of covariance matrix estimation

Hello,

I'm having a bit of trouble finding some informations about some BLAS functions. I want to estimate a covariance matrix from a set of K vectors (of length N).Two ways for doing that:

- put all the vectors x_k into a matrix X (size N*K) and use zgemm to do X*X^{H} so computational cost = 8*K*N²

- use zher K times updating each time the matrix with x_k*x_k^{H} --> what's the cost of that ?

Also, i'm a bit lost when talking about computing power calculation. If, for a given matrix-matrix multiplication, I need 200 GFlop per second (calculated with 8*K*N² / the time I have to do it). Can I compare these 200 GFlops to theorical power of my CPU ? Because i always see that the power of CPUs/GPUs is given in MAD GFlops. Does this mean that i can divide the 200 GFlops by 2 because one multiplication+addition is done per cycle ??

Thank you.

Jean-François