R: Inverse from Choleski Decomposition

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))
La.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.

Details

chol provides an interface to the LINPACK routine DPODI. La.chol provides an interface to the LAPACK routine DPOTRI.

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.

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.

Examples

cma <- chol(ma  <- cbind(1, 1:3, c(1,3,7)))
t(cma) %*% cma # = ma
all.equal(diag(3), ma %*% chol2inv(cma))
all.equal(diag(3), ma %*% La.chol2inv(cma))

[Package base version 1.6.1 ]