lchol: Left Cholesky factor

In gmonette/spida2: Collection of tools developed for the Summer Programme in Data Analysis 2000-2012

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 July 14, 2024, 12:45 p.m.