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. 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.
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.