cholsolve: Solve the equation Qx = y

In shazhe/mvst0: Multi-variate ST modelling on globe

Description

This function is similar to solve(Q,y) but with the added benefit that it allows for permuted matrices. This function does the job in order to minimise user error when attempting to re-permute the matrices prior or after solving. The user also has an option for the permuted Cholesky factorisation of Q to be carried out internally.

Usage

cholsolve(Q, y, perm = F, cholQ = matrix(1, 0, 0), cholQp = matrix(1, 0,
  0), P = NA)

Arguments

Q	matrix (sparse or dense), the Cholesky factor of which needs to be found
y	matrix with the same number of rows as Q
perm	if F no permutation is carried out, if T permuted Cholesky factors are used
cholQ	the Cholesky factor of Q (if known already)
cholQp	the permuted Cholesky factor of Q (if known already)
P	the pivot matrix (if known already)

Value

x solution to Qx = y

References

Havard Rue and Leonhard Held (2005). Gaussian Markov Random Fields: Theory and Applications. Chapman & Hall/CRC Press

Examples

require(Matrix)
Q = sparseMatrix(i=c(1,1,2,2),j=c(1,2,1,2),x=c(0.1,0.2,0.2,1))
y = matrix(c(1,2),2,1)
cholsolve(Q,y)

shazhe/mvst0 documentation built on May 29, 2019, 9:20 p.m.