Re: [R] B %*% t(B) = R , then solve for B

From: Shawn Koppenhoefer <shawn.koppenhoefer_at_epfl.ch>
Date: Tue, 12 Apr 2011 18:33:29 +0200


Solution found...

Sorry for not having known this,...

Apparently, what I was after is called a "Choleski factorization".

The solution pops right out of R, as follows:

> M<-matrix(c(0.6098601, 0.2557882, 0.1857773,

+             0.2557882,  0.5127065,  -0.1384238,
+             0.1857773, -0.1384238,   0.9351089 ),
+       nrow=3, ncol=3, byrow=TRUE)

> chol(M)
[,1] [,2] [,3] [1,] 0.7809354 0.3275408 0.2378907

[2,] 0.0000000 0.6367288 -0.3397722
[3,] 0.0000000 0.0000000 0.8735398
>

Thanks again for all your help!

/shawn



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