LDL Decomposition of a Matrix
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.
Default is |
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, tol = 1e-8) # arm64 Mac setup in CRAN fails with default tolerance d <- diag(diag(l)) diag(l) <- 1 all.equal(l %*% d %*% t(l), m, tol = 1e-15)
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