Inverse from 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

This matrix uses the given Choleski decomposition to invert the original positive definite matrix. It returns the inverse of the decomposed matrix.

References

Dongarra, J. J., J. R. Bunch, C. B. Moler and G. W. Stewart (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(diag(3) == ma %*% chol2inv(cma))# TRUE (at least approx.)

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