lchol: Left Cholesky factor

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lcholR Documentation

Left Cholesky factor

Description

Decomposes positive-definite G = L'L where L is lower-triangular.

In R, chol returns a upper-triangular matrix R such that G = R'R. lchol return a lower-triangular matrix.

Usage

lchol(x)

lchol(x)

Arguments

x

a positive-definite matrix

Details

In R, chol returns a upper-triangular matrix R such that G = R'R. lchol return a lower-triangular matrix.

Examples

mm <- cbind( c(8,2,1), c(2,10,2), c(1,2,5))
mm
chol(mm)
lchol(mm)
crossprod(chol(mm))
t(chol(mm)) %*% chol(mm)
crossprod(lchol(mm))
t(lchol(mm)) %*% lchol(mm)
mm <- cbind( c(8,2,1), c(2,10,2), c(1,2,5))
mm
chol(mm)
lchol(mm)
crossprod(chol(mm))
t(chol(mm)) %*% chol(mm)
crossprod(lchol(mm))
t(lchol(mm)) %*% lchol(mm)

gmonette/spida2 documentation built on Aug. 11, 2024, 7:52 p.m.