Description Usage Arguments Details Value Author(s) See Also Examples
This function is similar to base::chol
, but it returns the lower root and possibly remove unnecessary columns.
1 | cholRoot(x)
|
x |
A positive semidefinite matrix. |
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).
A numeric matrix, not necessarily a square matrix.
Long Qu
1 2 3 4 5 | set.seed(3456L)
A=tcrossprod(matrix(runif(10L), 5L))
cholRoot(A)
range(A - tcrossprod(cholRoot(A)))
|
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