my.positive.definite.solve {pendensity} | R Documentation |
Invers a quadratic positive definite matrix.
my.positive.definite.solve(A, eps = 1e-15)
A |
quadratic positive definite matrix |
eps |
level of the lowest eigenvalue to consider |
The programm makes an eigenvalue decomposition of the positive definite matrix A and searchs all eigenvalues greater than eps. The value of return is the invers matrix of A, constructed with the matrix product of the corresponding eigenvalues and eigenvectors.
The return is the invers matrix of A.
Christian Schellhase <cschellhase@wiwi.uni-bielefeld.de>