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 \(q = x' A x\).
quadform(A, x)
matrix of dimension p x p
vector of length p
scalar value
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