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sparsediscrim (version 0.3.0)

quadform: Quadratic form of a matrix and a vector

Description

We compute the quadratic form of a vector and a matrix in an efficient manner. Let x be a real vector of length p, and let A be a p x p real matrix. Then, we compute the quadratic form \(q = x' A x\).

Usage

quadform(A, x)

Arguments

A

matrix of dimension p x p

x

vector of length p

Value

scalar value

Details

A naive way to compute the quadratic form is to explicitly write t(x) \%*\% A \%*\% x, but for large p, this operation is inefficient. We provide a more efficient method below.

Note that we have adapted the code from: https://stat.ethz.ch/pipermail/r-help/2005-November/081940.html