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.

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.