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R: Inverse from Choleski (or QR) Decomposition

chol2inv

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. Defunct and ignored (with a warning for true value).

Value

The inverse of the matrix whose Choleski decomposition was given.

Unsuccessful results from the underlying LAPACK code will result in an error giving a positive error code: these can only be interpreted by detailed study of the FORTRAN code.

Source

This is an interface to the LAPACK routine DPOTRI. LAPACK is from http://www.netlib.org/lapack and its guide is listed in the references.

References

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.

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

Examples

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

Results


R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(base)
> png(filename="/home/ddbj/snapshot/RGM3/R_rel/result/base/chol2inv.Rd_%03d_medium.png", width=480, height=480)
> ### Name: chol2inv
> ### Title: Inverse from Choleski (or QR) Decomposition
> ### Aliases: chol2inv
> ### Keywords: algebra array
> 
> ### ** Examples
> 
> cma <- chol(ma  <- cbind(1, 1:3, c(1,3,7)))
> ma %*% chol2inv(cma)
     [,1] [,2] [,3]
[1,]    1    0    0
[2,]    0    1    0
[3,]    0    0    1
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>