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cholSE

Generalized Cholesky Matrix Decomposition

Description

Performs a (modified) Cholesky factorization of the form

Usage

cholSE(matrix, tol = (.Machine$double.eps)^(1/3))

Arguments

matrix

Matrix to be Factorized.
tol

Tolerance; Algorithm suggests (.Machine$double.eps) ^ (1 / 3), default

Details

t(P) %*% A %*% P + E = t(R) %*% R

As detailed in Schnabel/Eskow (1990)

Value

Generalized Cholesky decomposed matrix.

Note

This version does not pivot or return the E matrix

Author(s)

Matthew L. Fidler (translation), Johannes Pfeifer, Robert B. Schnabel and Elizabeth Eskow

References

matlab source: http://www.dynare.org/dynare-matlab-m2html/matlab/chol_SE.html; Slightly different return values

Robert B. Schnabel and Elizabeth Eskow. 1990. "A New Modified Cholesky Factorization," SIAM Journal of Scientific Statistical Computing, 11, 6: 1136-58.

Elizabeth Eskow and Robert B. Schnabel 1991. "Algorithm 695 - Software for a New Modified Cholesky Factorization," ACM Transactions on Mathematical Software, Vol 17, No 3: 306-312

nlmixr

Nonlinear Mixed Effects Models in Population PK/PD

v2.0.4
GPL (>= 2)
Authors
Matthew Fidler [aut] (<https://orcid.org/0000-0001-8538-6691>), Yuan Xiong [aut], Rik Schoemaker [aut] (<https://orcid.org/0000-0002-7538-3005>), Justin Wilkins [aut] (<https://orcid.org/0000-0002-7099-9396>), Wenping Wang [aut, cre], Robert Leary [ctb], Mason McComb [aut] (<https://orcid.org/0000-0001-9871-8616>), Mirjam Trame [ctb], Teun Post [ctb], Richard Hooijmaijers [aut], Hadley Wickham [ctb], Dirk Eddelbuettel [cph], Johannes Pfeifer [ctb], Robert B. Schnabel [ctb], Elizabeth Eskow [ctb], Emmanuelle Comets [ctb], Audrey Lavenu [ctb], Marc Lavielle [ctb], David Ardia [cph], Daniel C. Dillon [ctb], Katharine Mullen [cph], Ben Goodrich [ctb]
Initial release

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