chol2inv {base}R Documentation

Inverse from Choleski (or QR) Decomposition

Description

Invert a symmetric, positive definite square matrix from its Choleski decomposition. Equivalently, compute (X'X)^(-1) from the (R part) of the QR decomposition of X.

Usage

chol2inv(x, size = NCOL(x), LINPACK = FALSE)

Arguments

x

a matrix. The first size 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)?

Value

The inverse of the matrix whose Choleski decomposition was given.

Source

This is an interface to the LAPACK routine DPOTRI and the LINPACK routine DPODI.

LAPACK and LINPACK are from http://www.netlib.org/lapack and http://www.netlib.org/linpack and their guides are listed in the references.

References

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.

Dongarra, J. J., Bunch, J. R., Moler, C. B. and Stewart, G. W. (1978) LINPACK Users Guide. Philadelphia: SIAM Publications.

See Also

chol, solve.

Examples

cma <- chol(ma  <- cbind(1, 1:3, c(1,3,7)))
ma %*% chol2inv(cma)

[Package base version 2.15.3 Index]