chol2inv: 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.
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.