chol2inv                package:base                R Documentation

_I_n_v_e_r_s_e _f_r_o_m _C_h_o_l_e_s_k_i _D_e_c_o_m_p_o_s_i_t_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

     Invert a symmetric, positive definite square matrix from its
     Choleski decomposition.

_U_s_a_g_e:

     chol2inv(x, size = ncol(x))
     La.chol2inv(x, size = ncol(x))

_A_r_g_u_m_e_n_t_s:

       x: a matrix.  The first `nc' 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.

_D_e_t_a_i_l_s:

     `chol' provides an interface to the LINPACK routine DPODI.
     `La.chol' provides an interface to the LAPACK routine DPOTRI.

_V_a_l_u_e:

     The inverse of the decomposed matrix.

_R_e_f_e_r_e_n_c_e_s:

     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 <URL:
     http://www.netlib.org/lapack/lug/lapack_lug.html>.

_S_e_e _A_l_s_o:

     `chol', `solve'.

_E_x_a_m_p_l_e_s:

     cma <- chol(ma  <- cbind(1, 1:3, c(1,3,7)))
     t(cma) %*% cma # = ma
     all.equal(diag(3), ma %*% chol2inv(cma))
     all.equal(diag(3), ma %*% La.chol2inv(cma))

