cholRoot: Lower Cholesky Root

Description Usage Arguments Details Value Author(s) See Also Examples

View source: R/kernels.R

Description

This function is similar to base::chol, but it returns the lower root and possibly remove unnecessary columns.

Usage

1

Arguments

x

A positive semidefinite matrix.

Details

This function calls base::chol with pivoting and returns the lower root. In the case of less than full rank x, unnecessary columns are removed. tcrossprod(cholRoot(x)) will reproduce x (up to numerical errors).

Value

A numeric matrix, not necessarily a square matrix.

Author(s)

Long Qu

See Also

Matrix::chol, base::chol.

Examples

1
2
3
4
5
	set.seed(3456L)
	A=tcrossprod(matrix(runif(10L), 5L))
	cholRoot(A)
	range(A - tcrossprod(cholRoot(A)))
	

varComp documentation built on May 2, 2019, 5:15 p.m.