[R] chol( neg.def.matrix ) WAS: Re: Choleski and Choleski with pivoting of matrix fails

[Charles C. Berry]

On Sat, 21 Nov 2009, simona.racioppi at libero.it wrote:

> Hi Everyone,
>
> I need to take the square root of the following matrix:
>
>                [,1]               [,2]                [,3]
> [1,]  0.5401984 -0.3998675 -1.3785897
> [2,] -0.3998675  1.0561872  0.8158639
> [3,] -1.3785897  0.8158639  1.6073119
>
> I tried Choleski which fails. I then tried Choleski with pivoting, but
> unfortunately the square root I get is not valid. I also tried eigen
> decomposition but i did no get far.
>
> Any clue on how to do it?!


If you want to take the square root of a negative definite matrix, you 
could use

 	sqrtm( neg.def.mat )

from the expm package on rforge:

 	http://r-forge.r-project.org/projects/expm/

HTH,

Chuck


>
> Thanks,
> Simon
>
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Charles C. Berry                            (858) 534-2098
                                             Dept of Family/Preventive Medicine
E mailto:cberry at tajo.ucsd.edu	            UC San Diego
http://famprevmed.ucsd.edu/faculty/cberry/  La Jolla, San Diego 92093-0901