[R] need help in understanding R code, and maybe some math
Peter Ehlers
ehlers at ucalgary.ca
Sun May 23 12:09:05 CEST 2010
On 2010-05-23 0:56, john smith wrote:
> Hi,
> I am trying to implement Higham's algorithm for correcting a non positive
> definite covariance matrix.
> I found this code in R:
> http://projects.cs.kent.ac.uk/projects/cxxr/trac/browser/trunk/src/library/Recommended/Matrix/R/nearPD.R?rev=637
>
> I managed to understand most of it, the only line I really don't understand
> is this one:
> X<- tcrossprod(Q * rep(d[p], each=nrow(Q)), Q)
>
> This line is supposed to calculate the matrix product Q*D*Q^T, Q is an n by
> m matrix and R is a diagonal n by n matrix. What does this mean?
> I also don't understand the meaning of a cross product between matrices, I
> only know it between vectors.
You could have a look at the help page for crossprod which
gives the definitions of crossprod and tcrossprod.
Perhaps this will help:
Q <- matrix(1:12, ncol=3)
v <- rep(1:3, each=nrow(Q)
Q
v
Q * v
(Q * v) %*% t(Q)
tcrossprod(Q * v, Q)
-Peter Ehlers
>
> Thanks,
> Barisdad.
>
> [[alternative HTML version deleted]]
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