R语言 计算矩阵的Choleski因式分解 – chol()函数

R语言中的 chol() 函数用于计算一个实数对称正无限方阵的Choleski因式分解。

语法： chol(x,…)

参数：

x： 一个存在方法的对象。默认的方法适用于实数对称的正无限矩阵

例1：

# R program to illustrate
# chol function
 
# Initializing a matrix with
# 2 rows and 2 columns
x <- matrix(c(8, 1, 1, 4), 2, 2)
 
# Getting the matrix representation
x
 
# Calling the chol() function
y <- chol(x)
 
# Getting the Choleski factorization
# of the specified matrix
y

输出：

     [, 1] [, 2]
[1, ]    8    1
[2, ]    1    4

         [, 1]      [, 2]
[1, ] 2.828427 0.3535534
[2, ] 0.000000 1.9685020

例2：

# R program to illustrate
# chol function
 
# Initializing a matrix with
# 2 rows and 2 columns
x <- matrix(c(1, 2, 3, 4), 2, 2)
 
# Getting the matrix representation
x
 
# Calling the chol() function
y <- chol(x)
 
# Getting the Choleski factorization
# of the specified matrix
y

输出：

     [, 1] [, 2]
[1, ]    1    3
[2, ]    2    4

Error in chol.default(x) : 
  the leading minor of order 2 is not positive definite
Calls: chol -> chol.default
Execution halted