modifChol {robcp} | R Documentation |
Revised Modified Cholesky Factorization
Description
Computes the revised modified Cholesky factorization described in Schnabel and Eskow (1999).
Usage
modifChol(x, tau = .Machine$double.eps^(1 / 3),
tau_bar = .Machine$double.eps^(2 / 3), mu = 0.1)
Arguments
x |
a symmetric matrix. |
tau |
(machine epsilon)^(1/3). |
tau_bar |
(machine epsilon^(2/3)). |
mu |
numeric, |
Details
modif.chol
computes the revised modified Cholesky Factorization of a symmetric, not necessarily positive definite matrix x + E such that L'L = x + E
for E \ge 0
.
Value
Upper triangular matrix L
of the form L'L = x + E
.
Author(s)
Sheila Görz
References
Schnabel, R. B., & Eskow, E. (1999). "A revised modified Cholesky factorization algorithm" SIAM Journal on optimization, 9(4), 1135-1148.
Examples
y <- matrix(runif(9), ncol = 3)
x <- psi(y)
modifChol(lrv(x))
[Package robcp version 0.3.9 Index]