checkupdate.matrixroot: Checks whether the matrix square root is correct
In conroylau/lpinfer: An R Package for Inference in Linear Programs

checkupdate.matrixroot

R Documentation

Checks whether the matrix square root is correct

Description

This function is used to check whether the matrix square root is correct. This is done by checking whether the Frobenius norm is smaller than the tolerance level, i.e., when A is the give matrix, B is the matrix square root obtained from the given sqrtm.method function, and \epsilon is the tolerance level, the FSST test checks whether ||A - BB||_F < \epsilon. If this does not hold, the FSST test will use the sqrtm function from the expm package to obtain the matrix square root.

Usage

checkupdate.matrixroot(mat, mat.name, sqrtm.method, sqrtm.tol)

Arguments

`mat`	The matrix that we wish to obtain the matrix square root.
`mat.name`	The name of the matrix for `mat`.
`sqrtm.method`	The method used to obtain the matrix square root in the `fsst` procedure. This has to be a function that takes one argument that accepts a square matrix of size k x k and returns a square matrix of size k x k, where k can be the length of the `\beta(P)` vector, or the `beta.obs` component of the `lpinfer` object.
`sqrtm.tol`	The absolute tolerance used to check whether the matrix square root is correct. This is done by checking whether the Frobenius norm is smaller than the tolerance level, i.e., when `A` is the give matrix, `B` is the matrix square root obtained from the given `sqrtm.method` function, and `\epsilon` is the tolerance level, the FSST test checks whether `\|\|A - BB\|\|_F < \epsilon`. If this does not hold, the FSST test will use the `sqrtm` function from the `expm` package to obtain the matrix square root.