chol_downdate: Rank-one Downdate of Cholesky Decomposition
In ramcmc: Robust Adaptive Metropolis Algorithm
Description
Usage
Arguments
Value
Note
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
chol_downdate(L, u)
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.
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Description Usage Arguments Value Note
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 | chol_downdate(L, u)
|
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.
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.
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