[R] Cholesky Decomposition in R

[Simon Wood]

A <- matrix(runif(25),5,5); A <- A%*%t(A) ## Example +ve def matrix

U <- chol(A)   ## start from factor given by chol
D <- diag(U)   ## extract sqrt(D) 
L <- t(U/D)     ## get unit lower triangular factor
D <- diag(D^2)  ## and diagonal
## So now A = LDL' 
range(A-L%*%D%*%t(L)) 

#best,
#Simon


On Tuesday 10 March 2009 21:33, Manli Yan wrote:
>   Hi everyone:
>   I try to use r to do the Cholesky Decomposition,which is A=LDL',so far I
> only found how to decomposite A in to  LL' by using chol(A),the function
> Cholesky(A) doesnt work,any one know other command to decomposte A in to
> LDL'
>
>   My r code is:
> library(Matrix)
> A=matrix(c(1,1,1,1,5,5,1,5,14),nrow=3)
>
> > chol(A)
>
>      [,1] [,2] [,3]
> [1,]    1    1    1
> [2,]    0    2    2
> [3,]    0    0    3
>
> > Cholesky(A)
>
> Error in function (classes, fdef, mtable)  :
>   unable to find an inherited method for function "Cholesky", for signature
> "matrix"
>
> whatz wrong???
> thanks~
>
> 	[[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html and provide commented, minimal,
> self-contained, reproducible code.

-- 
> Simon Wood, Mathematical Sciences, University of Bath, Bath, BA2 7AY UK
> +44 1225 386603  www.maths.bath.ac.uk/~sw283