| chol2inv {base} | R Documentation |
Inverse from Cholesky (or QR) Decomposition
Description
Invert a symmetric, positive definite square matrix from its Cholesky
decomposition. Equivalently, compute (X'X)^{-1}
from the (R part) of the QR decomposition of X.
Usage
chol2inv(x, size = NCOL(x), LINPACK = FALSE)
Arguments
x |
a matrix. The first |
size |
the number of columns of |
LINPACK |
logical. Defunct and gives an error. |
Value
The inverse of the matrix whose Cholesky decomposition was given.
Unsuccessful results from the underlying LAPACK code will result in an error giving a positive error code: these can only be interpreted by detailed study of the FORTRAN code.
Source
This is an interface to the LAPACK routine DPOTRI.
LAPACK is from https://netlib.org/lapack/ and its guide is listed
in the references.
References
Anderson. E. and ten others (1999) LAPACK Users' Guide. Third Edition. SIAM. Available on-line at https://netlib.org/lapack/lug/lapack_lug.html.
Dongarra, J. J., Bunch, J. R., Moler, C. B. and Stewart, G. W. (1978) LINPACK Users Guide. Philadelphia: SIAM Publications.
See Also
Examples
cma <- chol(ma <- cbind(1, 1:3, c(1,3,7)))
ma %*% chol2inv(cma)