chol2inv
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 $X$.
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.Unsuccessful results from the underlying LAPACK code will result in an
error giving a positive error code: these can only be interpreted by
detailed study of the FORTRAN code.
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.
References
Anderson. E. and ten others (1999) LAPACK Users' Guide. Third Edition. SIAM. Available online 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.
See Also
Examples
library(base)
cma < chol(ma < cbind(1, 1:3, c(1,3,7)))
ma %*% chol2inv(cma)
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