chol2inv {base} | R Documentation |
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))