chol_downdate: Rank-one Downdate of Cholesky Decomposition

Description Usage Arguments Value Note

View source: R/update.R

Description

Given the lower triangular matrix L obtained from the Cholesky decomposition of A, function chol_downdate updates L such that it corresponds to the decomposition of A - u*u' (if such decomposition exists).

Usage

1

Arguments

L

A lower triangular matrix. Strictly upper diagonal part is not referenced.

u

A vector with with length matching with the dimensions of L.

Value

Updated L.

Note

The function does not check that the resulting matrix is positive semidefinite.


ramcmc documentation built on Oct. 7, 2021, 1:07 a.m.