mchol {fastmatrix} | R Documentation |
The modified Cholesky factorization
Description
Compute the Cholesky factorization of a real symmetric but not necessarily positive definite matrix.
Usage
mchol(x)
Arguments
x |
a symmetric but not necessarily positive definite matrix to be factored. |
Value
The lower triangular factor of modified Cholesky decomposition, i.e., the matrix
\bold{L}
such that \bold{X} + \bold{E} = \bold{LL}^T
, where \bold{E}
is a nonnegative diagonal matrix that is zero if \bold{X}
es sufficiently positive
definite.
References
Gill, P.E., Murray, W., Wright, M.H. (1981). Practical Optimization. Academic Press, London.
Nocedal, J., Wright, S.J. (1999). Numerical Optimization. Springer, New York.
See Also
Examples
# a non-positive-definite matrix
a <- matrix(c(4,2,1,2,6,3,1,3,-.004), ncol = 3)
try(chol(a)) # fails
z <- mchol(a)
z # triangular factor
# modified 'a' matrix
tcrossprod(z)
[Package fastmatrix version 0.5-772 Index]