| cholupdate {fastmatrix} | R Documentation |
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.
cholupdate(r, x)
r |
a upper triangular matrix, the Cholesky factor of matrix a. |
x |
vector defining the rank one update. |
Golub, G.H., Van Loan, C.F. (2013). Matrix Computations, 4th Edition. John Hopkins University Press.
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