Inverse from Choleski (or QR) Decomposition
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 $X$.
chol2inv(x, size = NCOL(x), LINPACK = FALSE)
- a matrix. The first
sizecolumns of the upper triangle contain the Choleski decomposition of the matrix to be inverted.
- the number of columns of
xcontaining the Choleski decomposition.
- logical. Defunct and ignored (with a warning for true value).
The inverse of the matrix whose Choleski decomposition was given.
This is an interface to the LAPACK routine
LAPACK is from http://www.netlib.org/lapack and its guide is listed
in the references.
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.
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))) ma %*% chol2inv(cma)