R: Inverse from Choleski Decomposition

chol2inv {base}

R Documentation

Inverse from Choleski Decomposition

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

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

LINPACK

logical. Should LINPACK be used (for compatibility with R < 1.7.0)?

chol2inv(LINPACK=TRUE) provides an interface to the LINPACK routine DPODI. La.chol2inv provides an interface to the LAPACK routine DPOTRI.

The inverse of the decomposed matrix.

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.

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