Square-Root Factor of a Positive-Definite Matrix

DESCRIPTION:

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.

SEE ALSO:

EXAMPLES:

pd1 <- pdCompSymm(4 * diag(3) + 1) 
pdFactor(pd1)