Eigen_UtDU {EigenR} | R Documentation |
'UtDU' decomposition of a matrix
Description
Cholesky-'UtDU' decomposition of a symmetric or Hermitian matrix.
Usage
Eigen_UtDU(M)
Arguments
M |
a square symmetric/Hermitian positive or negative semidefinite matrix, real/complex |
Details
Symmetry is not checked; only the lower triangular part of
M
is used.
Value
The Cholesky-'UtDU' decomposition of M
in a list
(see example).
Examples
x <- matrix(c(1:5, (1:5)^2), 5, 2)
x <- cbind(x, x[, 1] + 3*x[, 2])
M <- crossprod(x)
UtDU <- Eigen_UtDU(M)
U <- UtDU$U
D <- UtDU$D
perm <- UtDU$perm
UP <- U[, perm]
t(UP) %*% diag(D) %*% UP # this is `M`
[Package EigenR version 1.3.0 Index]