[R-SIG-Finance] efficient sandwich matrix multiplication and determinant

[rkevinburton at charter.net]

I know chol2inv will invert a positive definite symmetric matrix and the underlying fortran code will optionally compute the determinant but I have been unable to find an 'R' hook into just the determinant part.

Kevin

---- "Brian G. Peterson" <brian at braverock.com> wrote: 
> Shimrit Abraham wrote:
> > I am looking for two ways to speed up my computations:
> >
> > 1. Is there a function that efficiently computes the 'sandwich product' of
> > three matrices, say, ZPZ'
> > 2. Is there a function that efficiently computes the determinant of a
> > positive definite symmetric matrix?
> >   
> 
> Shimrit,
> 
> You are likely to get a more complete answer on r-help than here.  This 
> list is for questions which are directly related to finance.  The 
> matrrix-math wizards hang out on r-help.
> 
> Regards,
> 
>     - Brian
> 
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