chol2inv {base} | R Documentation |
Invert a symmetric, positive definite square matrix from its Choleski decomposition.
chol2inv(x, size = NCOL(x), LINPACK = FALSE) La.chol2inv(x, size = ncol(x))
x |
a matrix. The first nc columns of the upper triangle
contain the Choleski decomposition of the matrix to be inverted. |
size |
the number of columns of x containing the
Choleski decomposition. |
LINPACK |
logical. Should LINPACK be used (for compatibility with R < 1.7.0)? |
chol2inv(LINPACK=TRUE)
provides an interface to the LINPACK
routine DPODI.
La.chol2inv
provides an interface to the LAPACK routine DPOTRI.
The inverse of the decomposed matrix.
Dongarra, J. J., Bunch, J. R., Moler, C. B. and Stewart, G. W. (1978) LINPACK Users Guide. Philadelphia: SIAM Publications.
Anderson. E. and ten others (1999) LAPACK Users' Guide. Third Edition. SIAM. Available on-line at http://www.netlib.org/lapack/lug/lapack_lug.html.
cma <- chol(ma <- cbind(1, 1:3, c(1,3,7))) ma %*% chol2inv(cma)