I need to calculate the inverse of a autocorrelation matrix (Rxx = E{X.X'}).
$$\mathbf R_{xx} = E\left\{\mathbf x \mathbf x^T\right\}$$
Where the samples x$\mathbf x$ are 266000x1$266000\times 1$ vectors, which means I'll have a 266000x266000 matrix$266000\times 266000$ matrix and need to invert it.
But I only need the first 729 lines.
The problem is, I have to find a classifier h$\mathbf h$, where
$$\mathbf h = \mathbf R_{xx}^{-1}\mathbf u$$
h = Rxx^(-1)*u
where Rxx$\mathbf R_{xx}$ is the autocorrelation matrix and u$\mathbf u$ is a 266000x1$266000\times 1$ vector. I
I have "u"$\mathbf u$ and I can calculate Rxx$\mathbf R_{xx}$, but I can't save it on memory (it's a matrix larger than 400GB and I only have 380GB available). I'm I'm only interested in the first 729 lines of h$\mathbf h$
