R: Inverse from Choleski Decomposition

chol2inv {base}

R Documentation

Inverse from Choleski Decomposition

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.