solve_chol {sparsediscrim}

Computes the inverse of a symmetric, positive-definite matrix using the Cholesky decomposition

Description

This often faster than solve() for larger matrices. See, for example: http://blog.phytools.org/2012/12/faster-inversion-of-square-symmetric.html and https://stats.stackexchange.com/questions/14951/efficient-calculation-of-matrix-inverse-in-r.

Usage

solve_chol(x)

Arguments

x

symmetric, positive-definite matrix

Value

the inverse of x