ldl {KFAS} | R Documentation |
Function ldl
computes the LDL decomposition of a positive semidefinite matrix.
ldl(x, tol)
x |
Symmetrix matrix. |
tol |
Tolerance parameter for LDL decomposition, determines which diagonal values are counted as zero. Same value is used in isSymmetric function. |
Transformed matrix with D in diagonal, L in strictly lower diagonal and zeros on upper diagonal.
# Positive semidefinite matrix, example matrix taken from ?chol x <- matrix(c(1:5, (1:5)^2), 5, 2) x <- cbind(x, x[, 1] + 3*x[, 2]) m <- crossprod(x) l <- ldl(m) d <- diag(diag(l)) diag(l) <- 1 all.equal(l %*% d %*% t(l), m, tol = 1e-15)