| chol2inv-methods {Matrix} | R Documentation |
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.
Even more generally, given an upper triangular matrix R,
compute (R'R)^(-1).
the default method from base, see
chol2inv, for traditional matrices.
method for the numeric triangular matrices,
built on the same LAPACK DPOTRI function as the base
method.
if x is coercable to a
triangularMatrix, call the "dtrMatrix"
method above.
if x is coercable to a
triangularMatrix, use solve()
currently.
chol (for Matrix objects);
further, chol2inv (from the base package),
solve.
(M <- Matrix(cbind(1, 1:3, c(1,3,7)))) (cM <- chol(M)) # a "Cholesky" object, inheriting from "dtrMatrix" chol2inv(cM) %*% M # the identity stopifnot(all(chol2inv(cM) %*% M - Diagonal(nrow(M))) < 1e-10)