ldl {fastmatrix} | R Documentation |
The LDL decomposition
Description
Compute the LDL decomposition of a real symmetric matrix.
Usage
ldl(x)
Arguments
x |
a symmetric numeric matrix whose LDL decomposition is to be computed. |
Value
The factorization has the form \bold{X} = \bold{LDL}^T
, where \bold{D}
is a diagonal matrix and \bold{L}
is unitary lower triangular.
The LDL decomposition of \bold{x}
is returned as a list with components:
lower |
the unitary lower triangular factor |
d |
a vector containing the diagonal elements of |
References
Golub, G.H., Van Loan, C.F. (1996). Matrix Computations, 3rd Edition. John Hopkins University Press.
See Also
Examples
a <- matrix(c(2,-1,0,-1,2,-1,0,-1,1), ncol = 3)
z <- ldl(a)
z # information of LDL factorization
# computing det(a)
prod(z$d) # product of diagonal elements of D
# a non-positive-definite matrix
m <- matrix(c(5,-5,-5,3), ncol = 2)
try(chol(m)) # fails
ldl(m)
[Package fastmatrix version 0.5-772 Index]