rcpp_matrix_ops {FastGP}

Matrix Operations Using Rcpp and RcppEigen

Description

Performs useful matrix operations using Rcpp and RcppEigen.

Usage

rcppeigen_invert_matrix(A)
rcppeigen_get_det(A)
rcppeigen_get_chol(A)
rcppeigen_get_chol_stable(A)
rcppeigen_get_chol_diag(A)
tinv(A)

Arguments

A

Matrix to perform operation on.

Details

Functions with "rcppeigen" directly call RcppEigen implementations of the associated functions; rcppeigen_get_chol_stable retrieves L and rcppeigen_get_chol_diag(A) retrieves D in A = LDL^T form, whereas rcppeigen_get_chol(A) retrieves L in A = LL^T form. Thanks to Jared Knowles who pointed out that the former variant is more stable (with a potential speed trade-off) and has found it useful for his package merTools. tinv inverts a symmetric Toeplitz matrix using methods from Trench and Durbin from "Matrix Computations" by Golub and Van Loan using Rcpp.

Author(s)

[e-mail]

Examples

# See demo/FastGPdemo.R