Rybicki Press algorithm
The Rybicki–Press algorithm is a fast algorithm for inverting a matrix whose entries are given by A ( i , j ) = exp ( − a | t i − t j | ) {\displaystyle A(i,j)=\exp(-a\vert t_{i}-t_{j}\vert )} , where a ∈ R {\displaystyle a\in \mathbb {R} } and where the t i {\displaystyle t_{i}} are sorted in order. The key observation behind the Rybicki-Press observation is that the matrix inverse of such a matrix is always a tridiagonal matrix (a matrix with nonzero entries only on the main diagonal and the two adjoining ones), and tridiagonal systems of equations can be solved efficiently (to be more precise, in linear time).