rcpp_matrix_ops: Matrix Operations Using Rcpp and RcppEigen

In FastGP: Efficiently Using Gaussian Processes with Rcpp and RcppEigen

Matrix Operations Using Rcpp and RcppEigen

Description

Performs useful matrix operations using Rcpp and RcppEigen, and some custom C++ to handle symmetric, positive definite, Toeplitz matrices.

Usage

rcppeigen_invert_matrix(A)
rcppeigen_get_det(A)
rcppeigen_get_chol(A)
rcppeigen_get_chol_stable(A)
rcppeigen_get_chol_diag(A)
tinv(A)
tdet(A)

Arguments

A	Matrix to perform operation on.

Details

Functions with "rcppeigen" directly call RcppEigen implementations of the associated functions; rcppeigen_get_chol_stable retrieves L and rcppeigen_get_chol_diag(A) retrieves D in A = LDL^T form, whereas rcppeigen_get_chol(A) retrieves L in A = LL^T form. The function tinv computes an inverse and tdet returns the log-determinant of a symmetric, positive-definite, Toeplitz matrix using methods from Trench and Durbin from "Matrix Computations" by Golub and Van Loan.

Author(s)

[e-mail]

Examples

# See demo/FastGPdemo.R

FastGP documentation built on Sept. 20, 2026, 9:06 a.m.