R: Rank 1 update to Cholesky factorization

cholupdate {fastmatrix} | R Documentation

## Rank 1 update to Cholesky factorization

### Description

function `chol.update`, where `R = chol(A)` is the original Cholesky factorization of \bold{A}, returns the upper triangular Cholesky factor of \bold{A} + \bold{xx}^T, with `x` a column vector of appropriate dimension.

### Usage

    cholupdate(r, x)

### Arguments

`r` | a upper triangular matrix, the Cholesky factor of matrix a.
`x` | vector defining the rank one update.

### References

Golub, G.H., Van Loan, C.F. (2013). Matrix Computations, 4th Edition. John Hopkins University Press.

### See Also

`chol`

### Examples

    a <- matrix(c(1,1,1,1,2,3,1,3,6), ncol = 3)
    r <- chol(a)
    x <- c(0,0,1)
    b <- a + outer(x,x)
    r1 <- cholupdate(r, x)
    r1
    all(r1 == chol(b)) # TRUE

[Package fastmatrix version 0.4 Index]