Hi, 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? Thanks, S.A. [[alternative HTML version deleted]]
it would be a bit more helpful if we knew more info regarding these matrices, for instance is P diagonal, etc. In any case, you could have a look at crossprod() # and tcorssprod() and, for the determinant maybe prod(eigen(mat, symmetric = TRUE, only.values = FALSE)$values) # or prod(diag(chol(mat)))^2 are a bit faster than det(), but I haven't tested it. I hope it helps. Best, Dimitris Shimrit Abraham wrote:> Hi, > > I am looking for two ways to speed up my computations: > > 1. Is there a function that efficiently computes the 'sandwich product' of > three matrices, say, ZPZ' > 2. Is there a function that efficiently computes the determinant of a > positive definite symmetric matrix? > > Thanks, > > S.A. > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >-- Dimitris Rizopoulos Assistant Professor Department of Biostatistics Erasmus Medical Center Address: PO Box 2040, 3000 CA Rotterdam, the Netherlands Tel: +31/(0)10/7043478 Fax: +31/(0)10/7043014
sorry, in my previous e-mail it should be tcrossprod() # and prod(eigen(mat, symmetric = TRUE, only.values = TRUE)$values) Best, Dimitris Shimrit Abraham wrote:> Hi, > > 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? > > Thanks, > > S.A. > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >-- Dimitris Rizopoulos Assistant Professor Department of Biostatistics Erasmus Medical Center Address: PO Box 2040, 3000 CA Rotterdam, the Netherlands Tel: +31/(0)10/7043478 Fax: +31/(0)10/7043014