R: Solve a matrix equation using the generalized Cholesky...

solve.gchol {bdsmatrix} | R Documentation

## Solve a matrix equation using the generalized Cholesky decompostion

### Description

This function solves the equation Ax=b for x, given b and the generalized Cholesky decompostion of A. If only the first argument is given, then a G-inverse of A is returned.

### Usage

    ## S3 method for class 'gchol'
    solve(a, b, full=TRUE, ...)

### Arguments

`a` | a generalized cholesky decompostion of a matrix, as returned by the `gchol` function.
`b` | a numeric vector or matrix, that forms the right-hand side of the equation.
`full` | solve the problem for the full (orignal) matrix, or for the cholesky matrix.
`...` | other arguments are ignored

### Details

A symmetric matrix A can be decomposed as LDL', where L is a lower triangular matrix with 1's on the diagonal, L' is the transpose of L, and D is diagonal. This routine solves either the original problem Ay=b (`full` argument) or the subproblem sqrt(D)L'y=b. If `b` is missing it returns the inverse of A or L, respectively.

### Value

if argument `b` is not present, the inverse of `a` is returned, otherwise the solution to matrix equation.

### See Also

gchol

### Examples

    # Create a matrix that is symmetric, but not positive definite
    #   The matrix temp has column 6 redundant with cols 1-5
    smat <- matrix(1:64, ncol=8)
    smat <- smat + t(smat) + diag(rep(20,8))  #smat is 8 by 8 symmetric
    temp <-  smat[c(1:5, 5:8), c(1:5, 5:8)]
    ch1  <- gchol(temp)

    ginv <- solve(ch1, full=FALSE)  # generalized inverse of ch1
    tinv <- solve(ch1, full=TRUE)   # generalized inverse of temp
    all.equal(temp %*% tinv %*% temp, temp)

[Package bdsmatrix version 1.3-2 Index]