[R] quadratic form

[Peter Dalgaard]

Alvarez Pedro <palvarez7777 at yahoo.es> writes:

> On page 22 of the R-introduction guide it's written:
> 
> the quadratic form x^{'} A^{-1} x which is used in
> multivariate computations, should be computed by
> something like x%*%solve(A,x), rather than computing
> the inverse of A.
> 
> Why isn't it good to compute t(x) %*% solve(A) %*% x?

It's just a waste of CPU time. For k x k matrices, solution of Ax=b is
of computational complexity O(k^2) whereas inversion of A is O(k^3).
This is obviously more important for k=1000 than for k=5.

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