ltdl {dynmix} | R Documentation |
Computes L'DL Matrix Decomposition.
Description
This function decomposes matrix V
into V=L'DL
, where L
is a lower triangular matrix with unit diagonal and D
is a diagonal matrix with non-negative terms.
Usage
ltdl(A)
Arguments
A |
symmetric positive-definite |
Value
list
of
$L |
|
$D |
|
References
de Jonge, P., Tiberius, C., 1996, The LAMBDA Method for Integer Ambiguity Estimation: Implementation Aspects, Universiteitsdrukkerij TU Delft.
Examples
A <- matrix(c(5,1,1,3),2,2)
V <- ltdl(A)
V$L
V$D
t(V$L) %*% V$D %*% V$L
A
[Package dynmix version 2.0 Index]