ltdl: Computes L'DL Matrix Decomposition.

View source: R/ltdl.R

ltdlR Documentation

Computes L'DL Matrix Decomposition.

Description

This function decomposes matrix V into V=L'DL, where L is a lower triangular matrix with unit diagonal and D is a diagonal matrix with non-negative terms.

Usage

ltdl(A)

Arguments

A

symmetric positive-definite matrix

Value

list of

$L

matrix L

$D

matrix D

References

de Jonge, P., Tiberius, C., 1996, The LAMBDA Method for Integer Ambiguity Estimation: Implementation Aspects, Universiteitsdrukkerij TU Delft.

Examples

A <- matrix(c(5,1,1,3),2,2)
V <- ltdl(A)
V$L
V$D
t(V$L) %*% V$D %*% V$L
A

dynmix documentation built on July 9, 2023, 7:22 p.m.

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