chol2inv

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 \(X\).

Syntax

R Copy

chol2inv(x, size = NCOL(x), LINPACK = FALSE)

Arguments

Parameter	Description
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).

Return 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.

Examples

Example

R Copy

# NOT RUN {
cma <- chol(ma  <- cbind(1, 1:3, c(1,3,7)))
ma %*% chol2inv(cma)
# }

See Also

chol solve.