chol2inv

0th

Percentile

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 $X$.

Keywords
algebra, array
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 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.

See Also

chol, solve.

Aliases
  • chol2inv
Examples
library(base) cma <- chol(ma <- cbind(1, 1:3, c(1,3,7))) ma %*% chol2inv(cma)
Documentation reproduced from package base, version 3.1.3, License: Part of R 3.1.3

Community examples

Looks like there are no examples yet.