Eigen_UtDU: 'UtDU' decomposition of a matrix
In EigenR: Complex Matrix Algebra with 'Eigen'
Eigen_UtDU R Documentation
'UtDU' decomposition of a matrix
Description
Cholesky-'UtDU' decomposition of a symmetric or Hermitian matrix.
Usage
Eigen_UtDU(M)
Arguments
M
a square symmetric/Hermitian positive or negative semidefinite
matrix, real/complex
Details
Symmetry is not checked; only the lower triangular part of
M is used.
Value
The Cholesky-'UtDU' decomposition of M in a list
(see example).
Examples
x <- matrix(c(1:5, (1:5)^2), 5, 2)
x <- cbind(x, x[, 1] + 3*x[, 2])
M <- crossprod(x)
UtDU <- Eigen_UtDU(M)
U <- UtDU$U
D <- UtDU$D
perm <- UtDU$perm
UP <- U[, perm]
t(UP) %*% diag(D) %*% UP # this is `M`
EigenR documentation built on May 18, 2022, 9:05 a.m.
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| Eigen_UtDU | R Documentation |
'UtDU' decomposition of a matrix
Description
Cholesky-'UtDU' decomposition of a symmetric or Hermitian matrix.
Usage
Eigen_UtDU(M)
Arguments
M |
a square symmetric/Hermitian positive or negative semidefinite matrix, real/complex |
Details
Symmetry is not checked; only the lower triangular part of
M is used.
Value
The Cholesky-'UtDU' decomposition of M in a list
(see example).
Examples
x <- matrix(c(1:5, (1:5)^2), 5, 2) x <- cbind(x, x[, 1] + 3*x[, 2]) M <- crossprod(x) UtDU <- Eigen_UtDU(M) U <- UtDU$U D <- UtDU$D perm <- UtDU$perm UP <- U[, perm] t(UP) %*% diag(D) %*% UP # this is `M`
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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