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 gives an error.

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.

Source

This is an interface to the LAPACK routine DPOTRI. LAPACK is from https://www.netlib.org/lapack/ and its guide is listed in the references.

References

Anderson. E. and ten others (1999) LAPACK Users' Guide. Third Edition. SIAM. Available on-line at https://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.

See Also

chol, solve.

Examples

cma <- chol(ma  <- cbind(1, 1:3, c(1,3,7)))
ma %*% chol2inv(cma)