A square-root factor of the positive-definite matrix represented by
object
is obtained. Letting S denote a
positive-definite matrix, a square-root factor of S is
any square matrix L such that S =
L'L. This function extracts L.
USAGE:
pdFactor(object, ...)
REQUIRED ARGUMENTS:
object
an object inheriting from class
pdMat, representing
a positive definite matrix, which must have been initialized
(i.e. `length(coef(object)) > 0').
OPTIONAL ARGUMENTS:
...
some methods for the generic function may require additional
arguments.
VALUE:
a vector with a square-root factor of the positive-definite matrix
associated with
object stacked column-wise.
NOTE: This function is used intensively in optimization
algorithms and its value is returned as a vector for efficiency
reasons. The
pdMatrix function can be used to obtain
square-root factors in matrix form.