I have a symmetric positive definite matrix of size 50 000 50 000, that is about unique elements. I need the diagonal elements of it's inverse.
Is there a direct way to obtain the diagonal of the inverse matrix, without calculating all the elements of the inverse, for example with some decomposition?
The matrix is too big to be inverted directly with Matlab on my computer, but I think I might be able to contruct an algorithm to calculate the inverse recursively blockwise. This programming task would take a couple of days however, and also the calculation would require probably several hours.