chud: Cholesky Update/Downdate

Description Usage Arguments Details Value References See Also

View source: R/chud.R

Description

Rank-one updates of Cholesky factors

Usage

1
2
chud(R,x)
chdd(R,x)

Arguments

R

an upper-triangular matrix

x

a vector

Details

chud computes Q such that:

Q^T Q = R^T R + x x^T

chdd computes Q such that:

Q^T Q = R^T R - x x^T

chdd reports an error if R^T R - x x^T is not positive definite. The two functions use LINPACK's dchud and dchdd routines respectively, two of the few routines from LINPACK without analogues in LAPACK.

Value

An updated version of R.

References

Dongarra, J. J., Moler, C. B., Bunch, J. R., Stewart, G. W. (1979) LINPACK User's Guide.

See Also

chol


SamplerCompare documentation built on May 2, 2019, 7:55 a.m.