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))

`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.

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.

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