chol2inv                package:base                R Documentation

Inverse from Choleski Decomposition

Description:

     Invert a symmetric, positive definite square matrix from its
     Choleski decomposition.

Usage:

     chol2inv(x, size = ncol(x))

Arguments:

       x: a matrix.  The first `nc' 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.

Value:

     The inverse of the decomposed matrix.

References:

     Dongarra, J. J., Bunch, J. R., Moler, C. B. and Stewart, G. W.
     (1978) LINPACK Users Guide.  Philadelphia: SIAM Publications.

See Also:

     `chol', `solve'.

Examples:

     cma <- chol(ma  <- cbind(1, 1:3, c(1,3,7)))
     t(cma) %*% cma # = ma
     all.equal(diag(3), ma %*% chol2inv(cma))

