quick_solve {gigg}

Iterative one rank update for matrix inverse.

Description

An Rcpp function that computes the matrix inverse of XtX + D_pos.

Usage

quick_solve(XtX_inv, D_pos, vec_draw)

Arguments

XtX_inv

A precomputed (M x M) matrix inverse.

D_pos

A (M x 1) vector of the square root of the diagonal entries in the D matrix.

vec_draw

A (M x 1) vector drawn from a multivariate normal distribution.

Value

The solution to (XtX + D)*U = vec_draw.