[R] Trace and inverse of big matrices

Wagner Bonat wbonat at gmail.com
Mon Aug 25 10:31:41 CEST 2014

I need to compute two equations related with trace and inverse of a around
30000 x 30000 density matrices. The equations are

-trace( W_i %**% C) and -trace(W_i %**% C %*% W_j C)

I know W_i, W_j and inverse of C. These equations are related with Pearson
estimating functions. I am trying to use R and package Matrix, but I
couldn't compute the C matrix, using solve() or chol() and chol2inv(). I do
not know with is possible using solve() to solve a system of equation and
after compute the trace. It is common to use solve function to compute
something like C^{-1} W = solve(C, W), but my equation is a little bit
different. Any help is welcome. I am thinking about to use RcppArmadillo,
but I am not sure that it is able to compute my equations.

Thank you everyone.

Wagner Hugo Bonat
LEG - Laboratório de Estatística e Geoinformação
UFPR - Universidade Federal do Paraná

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