chol2inv {base} | R Documentation |
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. |
This matrix uses the given Choleski decomposition to invert the original positive definite matrix. It returns the inverse of the decomposed matrix.
Dongarra, J. J., J. R. Bunch, C. B. Moler and G. W. Stewart (1978). LINPACK Users Guide. Philadelphia: SIAM Publications.
cma <- chol(ma <- cbind(1, 1:3, c(1,3,7))) t(cma) %*% cma # = ma all.equal(diag(3), ma %*% chol2inv(cma))