greta (version 0.4.5)

chol2symm: Cholesky Factor to Symmetric Matrix

Description

Evaluate t(x) \%*\% x efficiently, where x is the (upper-triangular) Cholesky factor of a symmetric, positive definite square matrix. I.e. it is the inverse of chol.

Usage

chol2symm(x)

Arguments

x

a square, upper triangular matrix representing the Cholesky factor of a symmetric, positive definite square matrix

Examples

# a symmetric, positive definite square matrix
y <- rWishart(1, 4, diag(3))[, , 1]
u <- chol(y)
identical(y, chol2symm(u))
identical(chol2symm(u), t(u) %*% u)
if (FALSE) {
u_greta <- cholesky_variable(3)
y_greta <- chol2symm(u)
}