This link
http://math.stackexchange.com/questions/18488/diagonal-of-an-inverse-of-a-sparse-matrix
might
help.  It is about sparse matrices, but the general idea should be able to
be extended to non-sparse matrices as well.


On Fri, Apr 19, 2013 at 8:13 AM, Camarda, Carlo Giovanni <
Camarda@demogr.mpg.de> wrote:

> 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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-- 
Gregory (Greg) L. Snow Ph.D.
538280@gmail.com

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