chol2inv: 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 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. Defunct and ignored (with a warning for true value).

Value

The inverse of the matrix whose Choleski decomposition was given.

Source

This is an interface to the LAPACK routine DPOTRI.
LAPACK is from http://www.netlib.org/lapack and its guide is listed
in the references.