Lower Cholesky Root

Description

This function is similar to base::chol, but it returns the lower root and possibly remove unnecessary columns.

Usage

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Arguments

x

A positive semidefinite matrix.

Details

This function calls base::chol with pivoting and returns the lower root. In the case of less than full rank x, unnecessary columns are removed. tcrossprod(cholRoot(x)) will reproduce x (up to numerical errors).

Value

A numeric matrix, not necessarily a square matrix.

Author(s)

Long Qu

See Also

Matrix::chol, base::chol.

Examples

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	set.seed(3456L)
	A=tcrossprod(matrix(runif(10L), 5L))
	cholRoot(A)
	range(A - tcrossprod(cholRoot(A)))
	

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