[R] extracting the diagonal of an inverse matrix

Camarda, Carlo Giovanni Camarda at demogr.mpg.de
Fri Apr 19 16:13:43 CEST 2013

Dear R-users,

I would like to know whether there is a way to extract a diagonal of an inverse matrix without computing the inverse of the matrix itself. The size of my matrices are really huge and, also using sparse matrix, computing the inverse leads to storage problems and low speed.

In other words, given a square matrix A, I aim to know diag(B), where B=solve(A), without computing solve(A). 

Accidentally (I do not know whether it helps), I could write the matrix A as follows: 
A <- D + P
where D is a diagonal matrix. 

I read there are methods around, but, before implementing one of them by myself, could you please inform whether there is already an R-routine for this issue? 

Thanks in advance for the help you could provide,
Carlo Giovanni Camarda
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