R: Inverse from Choleski (or QR) Decomposition

chol2inv {base}

R Documentation

Inverse from Choleski (or QR) Decomposition

Description

Invert a symmetric, positive definite square matrix from its Choleski 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` columns of the upper triangle contain the Choleski decomposition of the matrix to be inverted.
`size`	the number of columns of `x` containing the Choleski decomposition.
`LINPACK`	logical. Should LINPACK be used (for compatibility with R < 1.7.0)?

Details

This is an interface to the LAPACK routine DPOTRI and the LINPACK routine DPODI.

Value

The inverse of the matrix whose Choleski decomposition was given.

References

Dongarra, J. J., Bunch, J. R., Moler, C. B. and Stewart, G. W. (1978) LINPACK Users Guide. Philadelphia: SIAM Publications.

Anderson. E. and ten others (1999) LAPACK Users' Guide. Third Edition. SIAM. Available on-line at http://www.netlib.org/lapack/lug/lapack_lug.html.

Examples

cma <- chol(ma  <- cbind(1, 1:3, c(1,3,7)))
ma %*% chol2inv(cma)

[Package base version 2.15.1 Index]