矩阵求逆R [英] matrix inversion R

问题描述

我想对一个平方对称正定矩阵求逆.我知道R中有两个函数solve()和chol2inv()，但是它们的结果不同.我需要知道为什么会这样吗?

I want to inverse a square symmetric positive definite matrix. I know there are two functions solve() and chol2inv() in R but their results is different. I need to know why this happen?

谢谢.

推荐答案

对于solve，您需要给出原始矩阵，但对于chol2inv，则使用预先计算的cholesky分解:

For solve you need to give your original matrix, but for chol2inv you use precomputed cholesky decomposition:

set.seed(1)
a<-crossprod(matrix(rnorm(9),3,3))
a_chol<-chol(a)
solve(a)
            [,1]        [,2]       [,3]
[1,]  1.34638151 -0.02957435  0.8010735
[2,] -0.02957435  0.32780020 -0.1786295
[3,]  0.80107345 -0.17862950  1.4533671
chol2inv(a_chol)
            [,1]        [,2]       [,3]
[1,]  1.34638151 -0.02957435  0.8010735
[2,] -0.02957435  0.32780020 -0.1786295
[3,]  0.80107345 -0.17862950  1.4533671

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