robust_chol2inv: Robust inversion of symmetric matrices

In stefvanbuuren/brokenstick: Broken Stick Model for Irregular Longitudinal Data

Robust inversion of symmetric matrices

Description

Attempts to compute the inverse of a symmetric matrix using Cholesky decomposition. If the matrix is not positive definite, a small ridge value is added. If it still fails, a diagonal fallback is returned.

Usage

robust_chol2inv(Sigma, eps = 1e-08, fallback_diag = TRUE)

Arguments

Sigma	A symmetric matrix to invert.
eps	Ridge value added to the diagonal to regularize the matrix.
fallback_diag	Logical. If TRUE, return a diagonal matrix as a fallback when Cholesky fails.

Value

A matrix of the same dimension as Sigma, representing its regularized inverse.

stefvanbuuren/brokenstick documentation built on June 9, 2025, 11:03 p.m.