dynmix (version 2.1)

ltdl: Computes L'DL Matrix Decomposition.

Description

This function decomposes matrix \(V\) into \(V=L'DL\), where \(L\) is a lower triangular matrix with unit diagonal and \(D\) is a diagonal matrix with non-negative terms.

Usage

ltdl(A)

Value

list of

$L

matrix \(L\)

$D

matrix \(D\)

Arguments

A

symmetric positive-definite matrix

References

de Jonge, P., Tiberius, C., 1996, The LAMBDA Method for Integer Ambiguity Estimation: Implementation Aspects, Universiteitsdrukkerij TU Delft.

Examples

A <- matrix(c(5,1,1,3),2,2)
V <- ltdl(A)
V$L
V$D
t(V$L) %*% V$D %*% V$L
A