rcpp_matrix_ops: Matrix Operations Using Rcpp and RcppEigen

Description Usage Arguments Details Author(s) Examples

Description

Performs useful matrix operations using Rcpp and RcppEigen.

Usage

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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. Thanks to Jared Knowles who pointed out that the former variant is more stable (with a potential speed trade-off) and has found it useful for his package merTools. tinv inverts a symmetric Toeplitz matrix using methods from Trench and Durbin from "Matrix Computations" by Golub and Van Loan using Rcpp.

Author(s)

gopalan88@gmail.com

Examples

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# See demo/FastGPdemo.R

Example output



FastGP documentation built on May 1, 2019, 10:29 p.m.