Description Usage Arguments Details Value References Examples
Pivoted Cholesky (same as pivot=T when carrying out Cholesky with dense matrices)
1 |
A |
matrix (sparse or dense), the Cholesky factor of which needs to be found |
This function should just be used to verify the pivot=T with dense matrices. Since it is an R implementation it is much slower than that in the base package.
A list with two elements, R (the Cholesky factor) and piv (the pivoting order)
Leonardo S. Bastos and A. O'Hagan (2007). Diagnostics for Gaussian Process Emulators. www.tonyohagan.co.uk/academic/pdf/diagtech.pdf
1 | find_pivot_Bastos(matrix(c(0.1,0.2,0.2,1),2,2))
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