robust_chol2inv {brokenstick} | R Documentation |
Robust inversion of symmetric matrices
Description
Attempts to compute the inverse of a symmetric matrix using Cholesky decomposition. If the matrix is not positive definite, a small ridge value is added. If it still fails, a diagonal fallback is returned.
Usage
robust_chol2inv(Sigma, eps = 1e-08, fallback_diag = TRUE)
Arguments
Sigma |
A symmetric matrix to invert. |
eps |
Ridge value added to the diagonal to regularize the matrix. |
fallback_diag |
Logical. If |
Value
A matrix of the same dimension as Sigma
, representing its
regularized inverse.
[Package brokenstick version 2.6.0 Index]