chol2inv {base}

R Documentation

Inverse from Choleski Decomposition

Description

Invert a symmetric, positive definite square matrix from its Choleski decomposition.

Usage

chol2inv(x, size = ncol(x))

Arguments

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.

Value

The inverse of the decomposed matrix.

References

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)))
t(cma) %*% cma # = ma
all.equal(diag(3), ma %*% chol2inv(cma))

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