chol_update {ramcmc}

Rank-one Update of Cholesky Decomposition

Description

Given the lower triangular matrix L obtained from the Cholesky decomposition of A, function chol_update updates L such that it corresponds to the decomposition of A + u*u'.

Usage

chol_update(L, u)

Arguments

L

A lower triangular matrix. Strictly upper diagonal part is not referenced.

u

A vector with with length matching with the dimensions of L.

Value

Updated L.

Examples

L <- matrix(c(4,3,0,5), 2, 2)
u <- c(1, 2)
chol_update(L, u)
t(chol(L %*% t(L) + u %*% t(u)))