| chol2inv {base} | R Documentation |
Invert a symmetric, positive definite square matrix from its Choleski decomposition.
chol2inv(x, size = NCOL(x), LINPACK = FALSE)
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)? |
This is an interface to the LAPACK routine DPOTRI and the LINPACK routine DPODI.
The inverse of the matrix whose Choleski decomposition was given.
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.
cma <- chol(ma <- cbind(1, 1:3, c(1,3,7))) ma %*% chol2inv(cma)