[R] Matrix mulitplication
Gabor Grothendieck
ggrothendieck at myway.com
Tue Feb 17 02:42:37 CET 2004
If you have to compute it many times for the same value of C
but different values of A and B then you could use the
Sherman-Morrison-Woodbury formula which expresses the inverse
of C+UV' in terms of the inverse of C. This would allow you
to avoid computing any inverses (except for C which only has to
be done once). See:
http://mathworld.wolfram.com/WoodburyFormula.html
---
Date: Mon, 16 Feb 2004 13:44:45 -0800 (PST)
From: Grace Conlon <gracestat at yahoo.com>
To: <R-help at stat.math.ethz.ch>
Subject: [R] Matrix mulitplication
ABCD are four matrix.
A * Inverse((Transpose(A)*Tranpose(B)*B*A+C)) * Transpose(A) * Transpose(B) * D
how to write in R in an efficient way?
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