

chol2inv {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

_U_s_a_g_e_:

     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.

_V_a_l_u_e_:

     This matrix uses the given Choleski decomposition to
     invert the original positive definite matrix.  It
     returns the inverse of the decomposed matrix.

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

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

_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))

