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@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 ______________________________________________ R-help@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.
