chol_downdate

A lower triangular matrix. Strictly upper diagonal part is not referenced.

A vector with with length matching with the dimensions of L.

Given the lower triangular matrix L obtained from the Cholesky decomposition of A,
function <code>chol_downdate</code> updates L such that it corresponds to the decomposition of A - u*u'
(if such decomposition exists).

Function for adapting the shape of the random walk Metropolis proposal
as specified by robust adaptive Metropolis algorithm by Vihola (2012) <doi:10.1007/s11222-011-9269-5>.
The package also includes fast functions for rank-one Cholesky update and downdate.
These functions can be used directly from R or the corresponding C++ header files
can be easily linked to other R packages.

Jouni Helske

chol_downdate: Rank-one Downdate of Cholesky Decomposition

Description

Usage

Arguments

Value