quadform_inv: Quadratic Form of the inverse of a matrix and a vector
In ramey/sparsediscrim: Sparse and Regularized Discriminant Analysis

Description Usage Arguments Details Value

We compute the quadratic form of a vector and the inverse of a matrix in an efficient manner. Let x be a real vector of length p, and let A be a p x p nonsingular matrix. Then, we compute the quadratic form q = x' A^{-1} x.

1	quadform_inv(A, x)

`A`	matrix that is p x p and nonsingular
`x`	vector of length p

A naive way to compute the quadratic form is to explicitly write t(x) %*% solve(A) %*% x, but for large p, this operation is inefficient. We provide a more efficient method below.

Note that we have adapted the code from: http://tolstoy.newcastle.edu.au/R/help/05/11/14989.html

scalar value

ramey/sparsediscrim documentation built on May 26, 2019, 10:05 p.m.