[R] Efficient matrix computations

Dimitris Rizopoulos d.rizopoulos at erasmusmc.nl
Tue Feb 17 11:05:21 CET 2009

it would be a bit more helpful if we knew more info regarding these 
matrices, for instance is P diagonal, etc. In any case, you could have a 
look at

# and

and, for the determinant maybe

prod(eigen(mat, symmetric = TRUE, only.values = FALSE)$values)
# or

are a bit faster than det(), but I haven't tested it.

I hope it helps.


Shimrit Abraham wrote:
> Hi,
> I am looking for two ways to speed up my computations:
> 1. Is there a function that efficiently computes the 'sandwich product' of
> three matrices, say, ZPZ'
> 2. Is there a function that efficiently computes the determinant of a
> positive definite symmetric matrix?
> Thanks,
> S.A.
> 	[[alternative HTML version deleted]]
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Dimitris Rizopoulos
Assistant Professor
Department of Biostatistics
Erasmus Medical Center

Address: PO Box 2040, 3000 CA Rotterdam, the Netherlands
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