You can use singular value decomposition:
?svd
> svd(A)
$d
[1] 16.3405917 2.8996176 0.7597907 # This is your diagonal matrix "D"
$u
[,1] [,2] [,3]
[1,] 0.08585595 -0.2420411 0.96645997
[2,] 0.40826313 -0.8763116 -0.25573252
[3,] 0.90881790 0.4165261 0.02357989
$v
[,1] [,2] [,3]
[1,] 0.08585595 -0.2420411 0.96645997
[2,] 0.40826313 -0.8763116 -0.25573252
[3,] 0.90881790 0.4165261 0.02357989
>
Ravi.
----------------------------------------------------------------------------
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Ravi Varadhan, Ph.D.
Assistant Professor, The Center on Aging and Health
Division of Geriatric Medicine and Gerontology
Johns Hopkins University
Ph: (410) 502-2619
Fax: (410) 614-9625
Email: rvarad...@jhmi.edu
Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html
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-----Original Message-----
From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On
Behalf Of Manli Yan
Sent: Tuesday, March 10, 2009 5:33 PM
To: r-help@r-project.org
Subject: [R] Cholesky Decomposition in R
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~
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