| chol2inv {base} | R Documentation |
Inverse from Choleski (or QR) Decomposition
Description
Invert a symmetric, positive definite square matrix from its Choleski
decomposition. Equivalently, compute (X'X)^{-1}
from the (R part) of the QR decomposition of X.
Usage
chol2inv(x, size = NCOL(x), LINPACK = FALSE)
Arguments
x |
a matrix. The first |
size |
the number of columns of |
LINPACK |
logical. Should LINPACK be used (for compatibility with R < 1.7.0)? |
Details
This is an interface to the LAPACK routine DPOTRI and the LINPACK routine DPODI.
Value
The inverse of the matrix whose Choleski decomposition was given.
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.
See Also
chol, solve.
Examples
cma <- chol(ma <- cbind(1, 1:3, c(1,3,7)))
ma %*% chol2inv(cma)