chol2inv                package:base                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.  Should LINPACK be used (for compatibility with R <
          1.7.0)?

Details:

     This is an interface to the LAPACK routine DPOTRI and the LINPACK
     routine DPODI.

Value:

     The inverse of the matrix whose Choleski decomposition was given.

References:

     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>.

See Also:

     'chol', 'solve'.

Examples:

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

