chud: Cholesky Update/Downdate
In SamplerCompare: A Framework for Comparing the Performance of MCMC Samplers
chud R Documentation
Cholesky Update/Downdate
Description
Rank-one updates of Cholesky factors
Usage
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 April 24, 2023, 9:09 a.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.
| chud | R Documentation |
Cholesky Update/Downdate
Description
Rank-one updates of Cholesky factors
Usage
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
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.