chol_downdate: Rank-one Downdate of Cholesky Decomposition
In helske/ramcmc: Robust Adaptive Metropolis Algorithm
Description
Usage
Arguments
Value
Note
Description
Given the lower triangular matrix L obtained from the Cholesky decomposition of A,
function chol_downdate updates L such that it corresponds to the decomposition of A - u*u'
(if such decomposition exists).
Usage
1
chol_downdate(L, u)
Arguments
L
A lower triangular matrix. Strictly upper diagonal part is not referenced.
u
A vector with with length matching with the dimensions of L.
Value
Updated L.
Note
The function does not check that the resulting matrix is positive semidefinite.
helske/ramcmc documentation built on Oct. 9, 2021, 9:38 a.m.
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Description Usage Arguments Value Note
Description
Given the lower triangular matrix L obtained from the Cholesky decomposition of A,
function chol_downdate updates L such that it corresponds to the decomposition of A - u*u'
(if such decomposition exists).
Usage
1 | chol_downdate(L, u)
|
Arguments
L |
A lower triangular matrix. Strictly upper diagonal part is not referenced. |
u |
A vector with with length matching with the dimensions of L. |
Value
Updated L.
Note
The function does not check that the resulting matrix is positive semidefinite.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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