The R Project SVN R

Rev

Rev 23184 | Rev 38410 | Go to most recent revision | Show entire file | Ignore whitespace | Details | Blame | Last modification | View Log | RSS feed

Rev 23184 Rev 26327
Line 5... Line 5...
5 
\description{
 5 
\description{
6 
  Invert a symmetric, positive definite square matrix from its Choleski
 6 
  Invert a symmetric, positive definite square matrix from its Choleski
7 
  decomposition.
 7 
  decomposition.
8 
}
 8 
}
9 
\usage{
 9 
\usage{
10 
chol2inv(x, size = ncol(x), LINPACK = FALSE)
 10 
chol2inv(x, size = NCOL(x), LINPACK = FALSE)
11 
La.chol2inv(x, size = ncol(x))
 11 
La.chol2inv(x, size = ncol(x))
12 
}
 12 
}
13 
\arguments{
 13 
\arguments{
14 
  \item{x}{a matrix.  The first \code{nc} columns of the upper triangle
 14 
  \item{x}{a matrix.  The first \code{nc} columns of the upper triangle
15 
    contain the Choleski decomposition of the matrix to be inverted.}
 15 
    contain the Choleski decomposition of the matrix to be inverted.}
Line 20... Line 20...
20 
}
 20 
}
21 
\value{
 21 
\value{
22 
  The inverse of the decomposed matrix.
 22 
  The inverse of the decomposed matrix.
23 
}
 23 
}
24 
\details{
 24 
\details{
25 
  \code{chol2inv(LINPACK=TRUE)} provides an interface to the LINPACK routine DPODI.
 25 
  \code{chol2inv(LINPACK=TRUE)} provides an interface to the LINPACK
- 
 
 26 
  routine DPODI.
26 
  \code{La.chol2inv} provides an interface to the LAPACK routine DPOTRI.
 27 
  \code{La.chol2inv} provides an interface to the LAPACK routine DPOTRI.
27 
}
 28 
}
28 
\references{
 29 
\references{
29 
  Dongarra, J. J., Bunch, J. R., Moler, C. B. and Stewart, G. W. (1978)
 30 
  Dongarra, J. J., Bunch, J. R., Moler, C. B. and Stewart, G. W. (1978)
- 
 
 31 
  \emph{LINPACK Users Guide}.
30 
  \emph{LINPACK Users Guide}.  Philadelphia: SIAM Publications.
 32 
  Philadelphia: SIAM Publications.
31 
 
 33 
 
32 
  Anderson. E. and ten others (1999)
 34 
  Anderson. E. and ten others (1999)
33 
  \emph{LAPACK Users' Guide}. Third Edition. SIAM.\cr
 35 
  \emph{LAPACK Users' Guide}. Third Edition.
- 
 
 36 
  SIAM.
34 
  Available on-line at
 37 
  Available on-line at
35 
  \url{http://www.netlib.org/lapack/lug/lapack_lug.html}.
 38 
  \url{http://www.netlib.org/lapack/lug/lapack_lug.html}.
36 
}
 39 
}
- 
 
 40 
\seealso{
- 
 
 41 
  \code{\link{chol}},
37 
\seealso{\code{\link{chol}}, \code{\link{solve}}.}
 42 
  \code{\link{solve}}.
- 
 
 43 
}
38 
\examples{
 44 
\examples{
39 
cma <- chol(ma  <- cbind(1, 1:3, c(1,3,7)))
 45 
cma <- chol(ma  <- cbind(1, 1:3, c(1,3,7)))
40 
ma \%*\% chol2inv(cma)
 46 
ma \%*\% chol2inv(cma)
41 
}
 47 
}
42 
\keyword{algebra}
 48 
\keyword{algebra}