pendensity (version 0.2.5)

my.positive.definite.solve: my.positive.definite.solve

Description

Reverses a quadratic positive definite matrix.

Usage

my.positive.definite.solve(A, eps = 1e-15)

Arguments

A

quadratic positive definite matrix

eps

level of the lowest eigenvalue to consider

Value

• The return is the inverse matrix of A.

Details

The program makes an eigenvalue decomposition of the positive definite matrix A and searches all eigenvalues greater than eps. The value of return is the inverse matrix of A, constructed with the matrix product of the corresponding eigenvalues and eigenvectors.